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...

In this report, two important issues that arise in the evaluation of the standardized prediction error criterion (SPEC) model selection method are investigated in the context of a simulated options market. The first refers to the question of whether the performance of the SPEC algorithm is...

Integer valued time series are useful models for describing dependence structures over time for count data for which classical time series models are inappropriate. Such models have been used for a variety of applications. Difficulties arise in attempting to estimate the parameters via maximum...

In this paper we discuss the basic procedures for the implementation of multivariate statistical process control via control charting. Furthermore, we review multivariate extensions for all kinds of univariate control charts, such as multivariate Shewhart-type control charts, multivariate CUSUM...