Prediction regions for interval-valued time series

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dc.contributor.author González-Rivera, Gloria
dc.contributor.author Luo, Yun
dc.contributor.author Ruiz Ortega, Esther
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2019-10-21T15:22:03Z
dc.date.available 2019-10-21T15:22:03Z
dc.date.issued 2019-10-15
dc.identifier.issn 2387-0303
dc.identifier.uri http://hdl.handle.net/10016/29054
dc.description.abstract We 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.
dc.description.sponsorship Gloria 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).
dc.language.iso eng
dc.relation.ispartofseries Working paper. Statistics and Econometrics
dc.relation.ispartofseries 19-15
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Bootstrap
dc.subject.other Constrainted Regression
dc.subject.other Coverage Rates
dc.subject.other Logarithmic Transformation
dc.subject.other Qml Estimation
dc.title Prediction regions for interval-valued time series
dc.type workingPaper
dc.subject.jel C01
dc.subject.jel C22
dc.subject.jel C53
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. ECO2015-70331-C2-2-R
dc.type.version draft
dc.identifier.uxxi DT/0000001732
dc.contributor.funder European Commission
dc.contributor.funder Ministerio de Economía y Competitividad (España)
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