Predictability and model selection in the context of ARCH models

Applied Stochastic Models in Business and Industry

Volumn 21, Issue 1, 2005, Pages 55-82

  Degiannakis, Stavros ^a   Xekalaki, Evdokia ^a,b  

^a ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS   (Greece)

^b TRINITY COLLEGE DUBLIN   (Ireland)

Author keywords

ARCH models; Correlated gamma ratio distribution; Model selection; Predictability; Standardized prediction error criterion

Indexed keywords

DATA REDUCTION; DECISION MAKING; ERROR STATISTICS; FORECASTING; FUNCTIONS; GAMMA RADIOGRAPHY; INVESTMENTS; MATHEMATICAL MODELS; PARAMETER ESTIMATION; SELECTION; STANDARDS; VECTORS;

ARCH MODELS; CORRELATED GAMMA RADIO DISTRIBUTION; MODEL SELECTION; PREDICTABILITY; STANDARDIZED PREDICTION ERROR CRITERION;

RANDOM PROCESSES;

EID: 14244268593     PISSN: 15241904     EISSN: None     Source Type: Journal    
DOI: 10.1002/asmb.551     Document Type: Article

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