Forecasting economic time series with unconditional time-varying variance

International Journal of Forecasting

Volumn 20, Issue 4, 2004, Pages 611-627

  Van Bellegem, Sébastien ^a   von Sachs, Rainer ^a  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

Author keywords

Covariance nonstationarity; Forecasting; Nonparametric estimation; Rescaled time; Time modulated process

Indexed keywords

EID: 13844315150     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2003.10.002     Document Type: Article

References (31)

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