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Prediction intervals in conditionally heteroscedastic time series with stochastic components

  • Published:2011-04 Issue:2 Volume:27 Page:308-319
  • ISSN:0169-2070
  • Container-title:International Journal of Forecasting
  • language:en
  • Short-container-title:International Journal of Forecasting

Author:

Pellegrini Santiago,Ruiz Esther,Espasa Antoni

Publisher

Elsevier BV

Subject

Business and International Management

Reference14 articles.

1. Short term forecasting of electricity prices for MISO hubs: evidence from ARIMA-EGARCH models;Bowden;Energy Economics,2008

2. Time series analysis: forecasting and control;Box,1976

3. Testing for conditional heteroscedasticity in the components of inflation;Broto;Studies in Nonlinear Dynamics and Econometrics,2009

4. Multimodality in the GARCH regression model;Doornik;International Journal of Forecasting,2008

5. Time series analysis by state space methods;Durbin,2001

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