In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size and the power of the test are investigated through a series of Monte Carlo simulations with various models. Furthermore, applications with financial data are analyzed in order to...

This paper examines the problem of order selection in connection to the forecasting performance for vector autoregressive (VAR) processes. For this purpose we present a generalisation of the modified divergence information criterion (MDIC) for VAR models and compare it with traditional...

In this paper a test procedure is proposed for the skewness in autoregressive conditional volatility models. The size and the power of the test are investigated through a series of Monte Carlo simulations with various models. Furthermore, applications with financial data are analyzed in order to...