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- Title
SELECTING FROM AMONGST NON-NESTED CONDITIONAL VARIANCE MODELS: INFORMATION CRITERIA AND PORTFOLIO DETERMINATION.
- Authors
Brooks, Chris; Burke, Simon P.
- Abstract
Considers the finite sample properties of model selection by information criteria in conditionally heteroscedastic models. Use of Monte Carlo simulations for a set of non-nested data generating processes (DGP) with the set of candidate models consisting of all types of model used as DGPs; Conjecture that the properties of parameterizations of processes commonly used to model heteroscedastic data are more similar than may be imagined.
- Subjects
HETEROSCEDASTICITY; ECONOMETRICS
- Publication
Manchester School (1463-6786), 2002, Vol 70, Issue 6, p747
- ISSN
1463-6786
- Publication type
Article
- DOI
10.1111/1467-9957.00323