Evaluating the forecasting performance of GARCH models using Whites Reality Check - Leonardo Souza; Alvaro Veiga; Marcelo C. Medeiros (Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia, 2002)
Keywords: C45; C51; C52; C61; G12; 330; time seris; GARCH models; bootstrap; reality check; volatility; financial econometrics; Monte Carlo; forecasting; riskmetrics; moving average; Prognoseverfahren; Zeitreihenanalyse; ARCH-Modell