Modelling subset multivariate ARCH model via the AIC principle

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	Modelling subset multivariate ARCH model via the AIC principle
	An, HZ ; Fong, PW ; Li, WK
	2002-09-01
发表期刊	SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY
ISSN	1006-9283
卷号	45 期号:9 页码:1089-1099
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.
关键词	AIC principle BIC multivariate ARCH model subset model
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied ; Mathematics
WOS记录号	WOS:000177647600001
出版者	SCIENCE CHINA PRESS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/17044
专题	中国科学院数学与系统科学研究院
通讯作者	An, HZ
作者单位	1.Chinese Acad Sci, Inst Appl Math, Beijing 100080, Peoples R China 2.Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	An, HZ,Fong, PW,Li, WK. Modelling subset multivariate ARCH model via the AIC principle[J]. SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY,2002,45(9):1089-1099.
APA	An, HZ,Fong, PW,&Li, WK.(2002).Modelling subset multivariate ARCH model via the AIC principle.SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY,45(9),1089-1099.
MLA	An, HZ,et al."Modelling subset multivariate ARCH model via the AIC principle".SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY 45.9(2002):1089-1099.