Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors

DOI10.1111/j.1467-9876.2006.00535.xzbMath1490.62274OpenAlexW1984276497MaRDI QIDQ5757824

Cathy W. S. Chen, Mike K. P. So, Feng-Chi Liu

Publication date: 7 September 2007

Published in: Journal of the Royal Statistical Society Series C: Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9876.2006.00535.x

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (7)

Bayesian Analysis of Two-Regime Threshold Autoregressive Moving Average Model with Exogenous Inputs ⋮ Testing a linear ARMA model against threshold-ARMA models: A Bayesian approach ⋮ Forecasting seasonal time series data: a Bayesian model averaging approach ⋮ Bayesian subset selection for threshold autoregressive moving-average models ⋮ PREDICTION‐FOCUSED MODEL SELECTION FOR AUTOREGRESSIVE MODELS ⋮ Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model ⋮ A Bayesian Analysis of Autoregressive Models with Exogenous Variables and Power-Transformed and Threshold GARCH Errors

Cites Work

• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• ARCH modeling in finance. A review of the theory and empirical evidence
• Generalized autoregressive conditional heteroscedasticity
• Modeling and pricing long memory in stock market volatility
• Modeling volatility persistence of speculative returns: a new approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
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