Selection Criteria in Regime Switching Conditional Volatility Models
A large number of nonlinear conditional heteroskedastic models have been proposed in the literature. Model selection is crucial to any statistical data analysis. In this article, we investigate whether the most commonly used selection criteria lead to choice of the right specification in a regime sw...
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| Format: | Article |
| Language: | English |
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MDPI AG
2015-05-01
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| Series: | Econometrics |
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| Online Access: | http://www.mdpi.com/2225-1146/3/2/289 |