Bootstrap based probability forecasting in multiplicative error models

Perera, I. and Silvapulle, M.J. (2020) Bootstrap based probability forecasting in multiplicative error models. Journal of Econometrics. ISSN 0304-4076

Abstract

Metadata

Authors/Creators:
  • Perera, I.
  • Silvapulle, M.J.
Copyright, Publisher and Additional Information: © 2020 Elsevier B.V. This is an author produced version of a paper subsequently published in Journal of Econometrics. Uploaded in accordance with the publisher's self-archiving policy. Article available under the terms of the CC-BY-NC-ND licence (https://creativecommons.org/licenses/by-nc-nd/4.0/).
Keywords: Multiplicative error model; Bootstrap; Probability forecast; Goodness-of-fit; Multi-step forecast
Dates:
  • Accepted: 13 January 2020
  • Published (online): 3 March 2020
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield)
Depositing User: Symplectic Sheffield
Date Deposited: 03 Mar 2020 16:59
Last Modified: 03 Mar 2020 16:59
Status: Published online
Publisher: Elsevier BV
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.jeconom.2020.01.022

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