Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models
DOI10.1080/03610926.2011.595869zbMath1294.62250OpenAlexW2009021978MaRDI QIDQ4929213
Publication date: 13 June 2013
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: http://www.sas.rutgers.edu/virtual/snde/wp/2011-26.pdf
block bootstrapdeviance information criterionMarkov chain Monte Carlo algorithmsgeneralized methods of momentsCIR and Vasicek modelsconditional Kolmogorov testcumulative density of the mean squared errors of forecast
Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) Bayesian inference (62F15) Bootstrap, jackknife and other resampling methods (62F40) Economic time series analysis (91B84) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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