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 on the basis of standardized prediction errors

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Year of publication:	2016
Authors:	Degiannakis, Stavros Antonios
Other Persons:	Xekalaki, Evdokia (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Prognoseverfahren \| Forecasting model \| ARCH-Modell \| ARCH model \| Zeitreihenanalyse \| Time series analysis \| Schätztheorie \| Estimation theory

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Extent:	1 Online-Ressource (67 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 1999 erstellt
Other identifiers:	10.2139/ssrn.2804983 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012987470