Deciding between GARCH and Stochastic Volatility via Strong Decision Rules

Christian Hafner and A. Preminger

No 2010032, LIDAM Reprints ISBA from Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)

Date: 2010-01-01
Note: In : Journal of Statistical Planning and Inference, vol. 140, no. 3, p. 791-805 (2010)
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Working Paper: Deciding between GARCH and stochastic volatility via strong decision rules (2006)
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