Modelling subset multivariate ARCH model via the AIC principle

被引：0
|
作者：
安鸿志
FONG P.W.
LIW.K.
机构：
来源：
Science China Mathematics | 2002年 / 09期
关键词：
AIC principle; BIC; tnultivariate ARCH model; subset model;
D O I：
暂无
中图分类号：
O212 [数理统计];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper we consider the problem of identifying a parsimonious subset multivariate ARCH model based on the AIC principle. The proposed approach can reduce the number of parameters in the final ARCH specification and allows for non-constant correlations between the components. Some simulation results illustrate the viability of the proposed procedure.
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页码：1089 / 1099
页数：11
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