Selection of the Informative Base in ARMA-GARCH Models

In this paper we consider the selection of the information set in ARMA-GARCH models using the methodology proposed in Muñoz et al. (2001) based on ideas of Phillips (1996). To that end, we analyse the performance of some selection criteria asymptotically equivalent to the Bayes factor and propose a method to build approximated Bayesian forecast intervals.

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Year of publication:	2003-03
Authors:	Muñoz, Laura ; Olave, Pilar ; Salvador, Manuel
Institutions:	Facultad de Economía y Empresa, Universidad de Zaragoza
Subject:	ARMA \| GARCH \| Prediction \| Model Selection \| Information Set Selection

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Extent:	application/pdf
Series:	Documentos de Trabajo.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009642538