authors
- RUIZ ORTEGA, ESTHER
- Trucíos, Carlos
- Hotta, Luiz K.
Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk
Working Papers
Overview
publisher
publication date
- 2015
series title
- UC3M Working Papers Statistics and Econometrics
full text
series number
- 15-23
Classification
keywords
- bm estimator; outliers; smooth bootstrap; variance targeting; winsorized bootstrap