Information criteria for GARCH model selection
Author:
Publisher
Informa UK Limited
Subject
Economics, Econometrics and Finance (miscellaneous)
Link
http://www.tandfonline.com/doi/pdf/10.1080/1351847021000029188
Reference20 articles.
1. A new look at the statistical model identification
2. Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts
3. Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
4. ARCH and Bilinearity as Competing Models for Nonlinear Dependence
5. Generalized autoregressive conditional heteroskedasticity
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