41 citations · 63 across the 7 of their papers we have counts for
3 papers · 1 filter
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…
A Residual Bootstrap for Conditional Value-at-Risk
Eric Beutner, Alexander Heinemann, Stephan Smeekes
A fixed-design residual bootstrap method is proposed for the two-step estimator of Francq and Zakoïan (2015) associated with the conditional Value-at-Risk. The bootstrap's consiste…
A Justification of Conditional Confidence Intervals
Eric Beutner, Alexander Heinemann, Stephan Smeekes
To quantify uncertainty around point estimates of conditional objects such as conditional means or variances, parameter uncertainty has to be taken into account. Attempts to incorp…