2 papers
econ.EM2021
Specification tests for GARCH processes
Giuseppe Cavaliere, Indeewara Perera, Anders Rahbek
This paper develops tests for the correct specification of the conditional variance function in GARCH models when the true parameter may lie on the boundary of the parameter space.…
stat.ME2017
Construction and Visualization of Optimal Confidence Sets for Frequentist Distributional Forecasts
David Harris, Gael M. Martin, Indeewara Perera +1
The focus of this paper is on the quantification of sampling variation in frequentist probabilistic forecasts. We propose a method of constructing confidence sets that respects the…