GARCH-Type Models and Performance of Information Criteria
暂无分享,去创建一个
[1] Chris Brooks,et al. Information criteria for GARCH model selection , 2003 .
[2] David R. Anderson,et al. Model selection and multimodel inference : a practical information-theoretic approach , 2003 .
[3] G. Schwert. Why Does Stock Market Volatility Change Over Time? , 1988 .
[4] Adrian Pagan,et al. Alternative Models for Conditional Stock Volatility , 1989 .
[5] Maxwell L. King,et al. Selecting the order of an ARCH model , 2004 .
[6] Clifford M. Hurvich,et al. Regression and time series model selection in small samples , 1989 .
[7] Tim Bollerslev,et al. Chapter 49 Arch models , 1994 .
[8] Monica Billio,et al. Volatility and shocks spillover before and after EMU in European stock markets , 2003 .
[9] P. Mantalos,et al. The effect of the GARCH(1, 1) on autocorrelation tests in dynamic systems of equations , 2005 .
[10] H. Akaike,et al. Information Theory and an Extension of the Maximum Likelihood Principle , 1973 .
[11] G. Schwarz. Estimating the Dimension of a Model , 1978 .
[12] Daniel B. Nelson. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH , 1991 .
[13] Herman J. Bierens,et al. Information Criteria and Model Selection , 2005 .
[14] C. Granger. Investigating causal relations by econometric models and cross-spectral methods , 1969 .
[15] F. Javed. Sensitivity of the Causality in Variance Test to the Garch (1,1) Parameters , 2011 .
[16] C. Granger. Testing for causality: a personal viewpoint , 1980 .
[17] L. Glosten,et al. On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks , 1993 .
[18] J. Zakoian. Threshold heteroskedastic models , 1994 .
[19] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[20] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[21] M. Peruggia. Model Selection and Multimodel Inference: A Practical Information-Theoretic Approach (2nd ed.) , 2003 .
[22] Anil K. Bera,et al. ARCH Models: Properties, Estimation and Testing , 1993 .
[23] H. Akaike. A new look at the statistical model identification , 1974 .
[24] G. Schwert. Why Does Stock Market Volatility Change Over Time , 1988 .
[25] C. Granger. Investigating Causal Relations by Econometric Models and Cross-Spectral Methods , 1969 .
[26] E. Hannan. The Estimation of the Order of an ARMA Process , 1980 .
[27] R. Shibata. Selection of the order of an autoregressive model by Akaike's information criterion , 1976 .
[28] David R. Anderson,et al. Multimodel Inference , 2004 .
[29] Yongmiao Hong. A test for volatility spillover with application to exchange rates , 2001 .
[30] R. Rigobón,et al. No Contagion, Only Interdependence: Measuring Stock Market Comovements , 2002 .
[31] Cathy W. S. Chen,et al. On a threshold heteroscedastic model , 2006 .
[32] Katherine T. McClain,et al. Measuring risk in the mining sector with ARCH models with important observations on sample size , 1996 .
[33] B. G. Quinn,et al. The determination of the order of an autoregression , 1979 .
[34] S. Ross. Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy , 1989 .