Predictability and model selection in the context of ARCH models

Stavros Degiannakis and Evdokia Xekalaki

Applied Stochastic Models in Business and Industry, 2005, vol. 21, issue 1, 55-82

Abstract: Most of the methods used in the ARCH literature for selecting the appropriate model are based on evaluating the ability of the models to describe the data. An alternative model selection approach is examined based on the evaluation of the predictability of the models in terms of standardized prediction errors. Copyright © 2005 John Wiley & Sons, Ltd.

Date: 2005
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Citations: View citations in EconPapers (8)

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https://doi.org/10.1002/asmb.551

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Working Paper: Predictability and Model Selection in the Context of ARCH Models (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:21:y:2005:i:1:p:55-82

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