Volatility forecasting model selection with exponentially weighted information criteria.
In this paper, we consider a recently proposed information criteria (IC) for selecting among forecasting models. This IC involves the use of exponential weighting within the measure of fit in the standard IC, such as the Akaike’s IC or Schwarz’s Bayesian IC. The effect of this is that greater weight...
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| Format: | Conference or Workshop Item |
| Language: | English English |
| Published: |
2009
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| Online Access: | http://psasir.upm.edu.my/id/eprint/18844/1/ID%2018844.pdf |