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GARCH-Type Models and Performance of Information Criteria
Lund University.
Örebro University.
2013 (English)In: Communications in statistics. Simulation and computation, ISSN 0361-0918, E-ISSN 1532-4141, Vol. 42, no 8, p. 1917-1933Article in journal (Refereed) Published
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Abstract [en]

This article discusses the ability of information criteria toward the correct selection of different especially higher-order generalized autoregressive conditional heteroscedasticity (GARCH) processes, based on their probability of correct selection as a measure of performance. Each of the considered GARCH processes is further simulated at different parameter combinations to study the possible effect of different volatility structures on these information criteria. We notice an impact from the volatility structure of time series on the performance of these criteria. Moreover, the influence of sample size, having an impact on the performance of these criteria toward correct selection, is observed.

Place, publisher, year, edition, pages
2013. Vol. 42, no 8, p. 1917-1933
Keywords [en]
GARCH, Leverage, Spillover, Volatility, Primary 62J02, Secondary 65C05, 65C60
National Category
Economics and Business
Research subject
Economics
Identifiers
URN: urn:nbn:se:lnu:diva-50568DOI: 10.1080/03610918.2012.683924ISI: 000314352500015OAI: oai:DiVA.org:lnu-50568DiVA, id: diva2:911071
Available from: 2014-03-14 Created: 2016-03-11 Last updated: 2017-11-30Bibliographically approved

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Mantalos, Panagiotis

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