Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors (Q5757824): Difference between revisions

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scientific article; zbMATH DE number 5188734

Language	Label	Description	Also known as
English	Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors	scientific article; zbMATH DE number 5188734

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instance of

scholarly article

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title

Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors (English)

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zbMATH Open document ID

1490.62274

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DOI

10.1111/j.1467-9876.2006.00535.x

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Journal of the Royal Statistical Society Series C: Applied Statistics

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publication date

7 September 2007

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Mathematics Subject Classification ID

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MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/j.1467-9876.2006.00535.x

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OpenAlex ID

W1984276497

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cites work

Fractionally integrated generalized autoregressive conditional heteroskedasticity

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Generalized autoregressive conditional heteroscedasticity

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ARCH modeling in finance. A review of the theory and empirical evidence

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Modeling and pricing long memory in stock market volatility

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Q3214142

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Modeling volatility persistence of speculative returns: a new approach

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Q4869745

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On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model

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Sitelinks

Mathematics(1 entry)

mardi Publication:5757824

@@ Property / full work available at URL @@
+https://doi.org/10.1111/j.1467-9876.2006.00535.x
+Normal rank
@@ Property / OpenAlex ID @@
+W1984276497
@@ Property / OpenAlex ID: W1984276497 / rank @@
+Normal rank
@@ Property / cites work @@
+Fractionally integrated generalized autoregressive conditional heteroskedasticity
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+ARCH modeling in finance. A review of the theory and empirical evidence
+Normal rank
@@ Property / cites work @@
+Modeling and pricing long memory in stock market volatility
+Normal rank
@@ Property / cites work @@
+Q3214142
@@ Property / cites work: Q3214142 / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling volatility persistence of speculative returns: a new approach
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Q4869745
@@ Property / cites work: Q4869745 / rank @@
+Normal rank
@@ Property / cites work @@
+On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
+Normal rank