Predictability and Model Selection in the Context of ARCH Models

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.

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Year of publication:	2005
Authors:	Degiannakis, Stavros ; Xekalaki, Evdokia

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Degiannakis, Stavros and Xekalaki, Evdokia (2005): Predictability and Model Selection in the Context of ARCH Models. Published in: Journal of Applied Stochastic Models in Business and Industry No. 21 (2005): pp. 55-82.
Classification:	C22 - Time-Series Models ; c46 ; C53 - Forecasting and Other Model Applications
Source:	BASE

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