Information criteria for GARCH model selection
Year of publication: |
2003
|
---|---|
Authors: | Brooks, Chris ; Burke, Simon |
Published in: |
The European Journal of Finance. - Taylor & Francis Journals, ISSN 1351-847X. - Vol. 9.2003, 6, p. 557-580
|
Publisher: |
Taylor & Francis Journals |
Subject: | Akaike information criterion | Schwarz information criterion | GARCH | high frequency financial data | exchange rate prediction | volatility forecasting |
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