Franses, Ph.H.B.F.; Leij, M.J. van der; Paap, R. - Erasmus University Rotterdam, Econometric Institute - 2005
model selection. Furthermore, we derive the theoretical moments and the autocorrelation function of our new model. We …. We discuss model
representation, parameter estimation and a simple test for model selection. Fur-
thermore, we derive the ….
Keywords: GARCH, Stochastic volatility, Model selection
⁄Earlier versions of this paper entitled "Forecasting jumps in …