3 citations · 8 across the 3 of their papers we have counts for
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econ.EM2019★ 3 cited
A General Framework for Prediction in Time Series Models
Eric Beutner, Alexander Heinemann, Stephan Smeekes
In this paper we propose a general framework to analyze prediction in time series models and show how a wide class of popular time series models satisfies this framework. We postul…
econ.EM2019★ 2 cited
A Bootstrap Test for the Existence of Moments for GARCH Processes
Alexander Heinemann
This paper studies the joint inference on conditional volatility parameters and the innovation moments by means of bootstrap to test for the existence of moments for GARCH(p,q) pro…