In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models

By Francisco Blasques, S. J. Koopman, K. Lasak, André Lucas. 2016

52 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/2abfdb4012a88b5ab22e5037a4a840c0f51ee827

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In Economics and Econometrics

1. Keven Bluteau
2. David Ardia
3. Kris Boudt
4. Leopoldo Catania
5. Lennart F. Hoogerheide
6. H. V. Dijk

In Finance

1. Keven Bluteau
2. David Ardia
3. Kris Boudt
4. Leopoldo Catania
5. Lennart F. Hoogerheide
6. H. V. Dijk

Citations in the corpus

• Forecasting risk with Markov-switching GARCH models:A large-scale performance study (2018, methodology): “More precisely, we consider both the symmetric GARCH model (Bollerslev, 1986) and the asymmetric GJR model (Glosten, Jagannathan, & Runkle, 1993). These scedastic specifications are integrated into the MSGARCH framework using the approach of Haas et al. (2004). For the (regime-dependent) conditional”