Detecting periods in which a time series model fails to predict the observed volatility
Author:
Publisher
Springer Science and Business Media LLC
Subject
Computational Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/BF03354604.pdf
Reference14 articles.
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2. Akima, H. (1996), Algorithm 761: Scattered-Data Surface Fitting that has the Accuracy of a Cubic Polynomial, ACM Transactions on Mathematical Software 22(2), 362–371.
3. Berkowitz, J. (2001), Testing Density Forecasts, With Applications to Risk Management, Journal of Business & Economic Statistics 19(4), 465–474.
4. Bowman, A.W. & Azzalini, A. (1997), Applied Smoothing Techniques for Data Analysis, Oxford University Press New York.
5. Bos, T., Ding, D. & Fetherston, T.A. (1998), Searching for Periods of Volatility: A Study of the Behavior of Volatility in Thai Stocks, Pacific-Basin Finance Journal 6(3), 295–306.
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