Volatility forecasting model selection with exponentially weighted information criteria.

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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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Bibliographic Details
Main Author:	Choo, Wei Chong
Format:	Conference or Workshop Item
Language:	English English
Published:	2009
Subjects:	Forecasting. Forecating - Finance.
Online Access:	http://psasir.upm.edu.my/id/eprint/18844/ http://psasir.upm.edu.my/id/eprint/18844/1/ID%2018844.pdf

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