C52 - Model Evaluation and Selection

Citations 1-8 of 8 total displayed.

Most recent content (1 Jul 2008):

Articles
A Simple Test for GARCH Against a Stochastic Volatility Model

Philip Hans Franses, Marco van der Leij, and Richard Paap
J. Financial Econometrics 2008; 6: 291-306. [Abstract] [Full text] [PDF]  

Past content (since Sep 2003):

Articles
Detecting ARCH Effects in Non-Gaussian Time Series

Burkhard Raunig
J. Financial Econometrics 2008; 6: 271-289. [Abstract] [Full text] [PDF]  

Articles
Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns

David E. Rapach and Mark E. Wohar
J. Financial Econometrics 2006; 4: 238-274. [Abstract] [Full text] [PDF]  

Articles
The BDS Test as a Test for the Adequacy of a GARCH(1,1) Specification: A Monte Carlo Study

Guglielmo Maria Caporale, Christos Ntantamis, Theologos Pantelidis, and Nikitas Pittis
J. Financial Econometrics 2005; 3: 282-309. [Abstract] [Full text] [PDF]  

Articles
Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework

Miguel A. Ferreira and Jose A. Lopez
J. Financial Econometrics 2005; 3: 126-168. [Abstract] [Full text] [PDF]  

Articles
Persistence and Kurtosis in GARCH and Stochastic Volatility Models

M. Angeles Carnero, Daniel Peña, and Esther Ruiz
J. Financial Econometrics 2004; 2: 319-342. [Abstract] [Full text] [PDF]  

Articles
A Pricing and Hedging Comparison of Parametric and Nonparametric Approaches for American Index Options

Toby Daglish
J. Financial Econometrics 2003; 1: 327-364. [Abstract] [PDF]  

Articles
A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility

Jeff Fleming and Chris Kirby
J. Financial Econometrics 2003; 1: 365-419. [Abstract] [PDF]