Publication:
Prediction regions for interval-valued time series

Simple item page
dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorGonzález-Rivera, Gloria
dc.contributor.authorLuo, Yun
dc.contributor.authorRuiz Ortega, Esther
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadísticaes
dc.contributor.funderEuropean Commissiones
dc.contributor.funderMinisterio de Economía y Competitividad (España)es
dc.date.accessioned2019-10-21T15:22:03Z
dc.date.available2019-10-21T15:22:03Z
dc.date.issued2019-10-15
dc.description.abstractWe approximate probabilistic forecasts for interval-valued time series by offering alternative approaches. After fitting a possibly non-Gaussian bivariate VAR model to the center/log-range system, we transform prediction regions (analytical and bootstrap) for this system into regions for center/range and upper/lower bounds systems. Monte Carlo simulations show that bootstrap methods are preferred according to several new metrics. For daily S&P500 low/high returns, we build joint conditional prediction regions of the return level and volatility. We illustrate the usefulness of obtaining bootstrap forecasts regions for low/high returns by developing a trading strategy and showing its profitability when compared to using point forecasts.es
dc.description.sponsorshipGloria González-Rivera acknowledges financial support from the 2015/2016 Chair of Excellence UC3M/Banco de Santander and the UC-Riverside Academic Senate grants. Esther Ruiz and Gloria González-Rivera are grateful to the Spanish Government contract grant ECO2015-70331-C2-2-R (MINECO/FEDER).es
dc.identifier.issn2387-0303es
dc.identifier.urihttps://hdl.handle.net/10016/29054
dc.identifier.uxxiDT/0000001732es
dc.language.isoenges
dc.relation.ispartofseriesWorking paper. Statistics and Econometricses
dc.relation.ispartofseries19-15es
dc.relation.projectIDGobierno de España. ECO2015-70331-C2-2-Res
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España*
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/*
dc.subject.jelC01es
dc.subject.jelC22es
dc.subject.jelC53es
dc.subject.otherBootstrapes
dc.subject.otherConstrainted Regressiones
dc.subject.otherCoverage Rateses
dc.subject.otherLogarithmic Transformationes
dc.subject.otherQml Estimationes
dc.titlePrediction regions for interval-valued time serieses
dc.typeworking paper*
dc.type.hasVersionAO*
dspace.entity.typePublication
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
ws201915.pdf
Size:
1.82 MB
Format:
Adobe Portable Document Format
Download
Collections
DES - Working Papers. Statistics and Econometrics. WS