Deciding between GARCH and stochastic volatility via strong decision rules

DOI10.1016/j.jspi.2009.09.008zbMath1177.62119OpenAlexW3125459270MaRDI QIDQ1044073

Christian M. Hafner, Arie Preminger

Publication date: 10 December 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2009.09.008

zbMATH Keywords

model selectionstochastic volatilitysimulationsGARCH

Mathematics Subject Classification ID

Related Items (1)

Spurious persistence in stochastic volatility

Cites Work

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