Bartlett's formula for a general class of nonlinear processes

By Christian Francq, Jean-Michel Zakoian. 2009

56 citations recorded by the source corpus.

Subfields: Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/3a6f488b00a535fc7e514b86b68cd2e911cf43fe

Citations in the corpus

• HAR Modeling for Realized Volatility Forecasting (2012, unknown): “The displayed 95% confidence bands (dashed lines) are computed with the generalized Bartlett’s formula of [46]. indistinguishable from a true one) can be obtained by aggregating only few hetero-1 geneous time scales ([58]).”
• GARCH Models (2010, unknown): “A detailed presentation of the financial concepts introduced in this chapter is provided in the books by Gouriéroux and Jasiak (2001) and Franke, Härdle and Hafner (2004). A classical reference on the stochastic calculus is the book by Karatzas and Shreve (1988). The relation between continuous-time”