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Article: Modelling subset multivariate ARCH model via the AIC principle

TitleModelling subset multivariate ARCH model via the AIC principle
Authors
KeywordsAIC principle
BIC
Multivariate ARCH model
Subset model
Issue Date2002
PublisherScience in China Press. The Journal's web site is located at http://www.scichina.com:8081/sciAe/EN/volumn/current.shtml
Citation
Science In China, Series A: Mathematics, 2002, v. 45 n. 9, p. 1089-1099 How to Cite?
AbstractIn 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.
Persistent Identifierhttp://hdl.handle.net/10722/82866
ISSN
2011 Impact Factor: 0.701
2012 SCImago Journal Rankings: 0.540
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorAn, Hen_HK
dc.contributor.authorFong, PWen_HK
dc.contributor.authorLi, WKen_HK
dc.date.accessioned2010-09-06T08:34:18Z-
dc.date.available2010-09-06T08:34:18Z-
dc.date.issued2002en_HK
dc.identifier.citationScience In China, Series A: Mathematics, 2002, v. 45 n. 9, p. 1089-1099en_HK
dc.identifier.issn1006-9283en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82866-
dc.description.abstractIn 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.en_HK
dc.languageengen_HK
dc.publisherScience in China Press. The Journal's web site is located at http://www.scichina.com:8081/sciAe/EN/volumn/current.shtmlen_HK
dc.relation.ispartofScience in China, Series A: Mathematicsen_HK
dc.subjectAIC principleen_HK
dc.subjectBICen_HK
dc.subjectMultivariate ARCH modelen_HK
dc.subjectSubset modelen_HK
dc.titleModelling subset multivariate ARCH model via the AIC principleen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0036-8237&volume=45&issue=9&spage=1089&epage=1099&date=2002&atitle=Modelling+subset+multivariate+ARCH+model+via+the+AIC+principleen_HK
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.scopuseid_2-s2.0-52649147424en_HK
dc.identifier.hkuros74960en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-52649147424&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume45en_HK
dc.identifier.issue9en_HK
dc.identifier.spage1089en_HK
dc.identifier.epage1099en_HK
dc.identifier.isiWOS:000177647600001-
dc.publisher.placeChinaen_HK
dc.identifier.scopusauthoridAn, H=7202277435en_HK
dc.identifier.scopusauthoridFong, PW=7103138432en_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK

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