Highest-density forecast regions: An essay in the Spanish stock market

N Blasco () and R Santamaría
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N Blasco: Universidad Pública de Navarra, Campus de Arrosadía s/n

Journal of Asset Management, 2001, vol. 2, issue 3, No 8, 274-283

Abstract: Abstract This paper explores the results of use of highest-density regions in practical forecasting. We study whether the information they provide is likely to be more effective compared with that offered by other easier methods of determining the forecast densities.

Keywords: highest density regions; bootstrap techniques; conditional heteroscedasticity; January effect; day of the week effect (search for similar items in EconPapers)
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:pal:assmgt:v:2:y:2001:i:3:d:10.1057_palgrave.jam.2240052

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DOI: 10.1057/palgrave.jam.2240052

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