A comparison of alternative techniques for selecting an optimum ARCH model

DOI10.1080/10629360600932857MaRDI QIDQ5457923zbMATH OpenOpenAlexFDO

Authors Heather Mitchell, Michael D. McKenzie

Publication date 10 April 2008

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10629360600932857

zbMATH Keywords

ARCHmodel selection criteriaHansen and Lunde test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 5243765 (Why is no real title available?)
• A weighted goodness-of-fit test for GARCH(1,1) specification
• ARCH modeling in finance. A review of the theory and empirical evidence
• An Empirical Likelihood Goodness-of-Fit Test for Time Series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bootstrap misspecification tests for ARCH based on the empirical process of squared residuals
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Evaluating GARCH models.
• Forecasting exchange rate volatility using conditional variance models selected by information criteria
• Generalized autoregressive conditional heteroscedasticity

Cited in

(3)

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• scientific article; zbMATH DE number 1984173 (Why is no real title available?)
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