Predictability and model selection in the context of ARCH models
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Publication:5467274
DOI10.1002/asmb.551zbMath1092.91066MaRDI QIDQ5467274
Evdokia Xekalaki, Stavros Degiannakis
Publication date: 24 May 2006
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/80486/1/MPRA_paper_80486.pdf
model selection; ARCH models; predictability; correlated gamma ratio distribution; standardized prediction error criterion
91B84: Economic time series analysis
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