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Assessing the Performance of a Prediction Error Criterion Model Selection Algorithm

https://doi.org/10.2139/ssrn.2804978
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-1-4757-5129-1_6openalex-extracted
Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility
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Statistical aspects of ARCH and stochastic volatility
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Distinguishing random and deterministic systems: Abridged version
inferredcites →https://doi.org/10.1016/0304-405x(77)90041-1openalex-extracted
Estimating betas from nonsynchronous data
inferredcites →https://doi.org/10.1016/0304-405x(79)90013-8openalex-extracted
Risk measurement when shares are subject to infrequent trading
inferredcites →https://doi.org/10.1016/0304-405x(83)90038-7openalex-extracted
Friction in the trading process and the estimation of systematic risk
inferredcites →https://doi.org/10.1016/0304-4076(86)90063-1openalex-extracted
Generalized autoregressive conditional heteroskedasticity
inferredcites →https://doi.org/10.1016/0304-4076(92)90064-xopenalex-extracted
ARCH modeling in finance
inferredcites →https://doi.org/10.1016/0304-4076(94)01654-iopenalex-extracted
The predictive ability of several models of exchange rate volatility
inferredcites →https://doi.org/10.1016/0893-6080(94)90014-0openalex-extracted
Introduction to the theory of neural computation
inferredcites →https://doi.org/10.1016/s0927-5398(97)00004-2openalex-extracted
Intraday periodicity and volatility persistence in financial markets
inferredcites →https://doi.org/10.1016/s0927-5398(99)00013-4openalex-extracted
Forecasting financial market volatility: Sample frequency vis-à-vis forecast horizon
inferredcites →https://doi.org/10.1016/s1042-4431(99)00029-3openalex-extracted
Intraday and interday volatility in the Japanese stock market
inferredcites →https://doi.org/10.1016/s1573-4412(05)80018-2openalex-extracted
Chapter 49 Arch models
inferredcites →https://doi.org/10.1080/00401706.1997.10485448openalex-extracted
Time Series Analysis
inferredcites →https://doi.org/10.1080/00401706.1999.10485962openalex-extracted
ARCH Models and Financial Applications
inferredcites →https://doi.org/10.1080/07474939208800229openalex-extracted
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
inferredcites →https://doi.org/10.1080/07474939608800353openalex-extracted
A test for independence based on the correlation dimension
inferredcites →https://doi.org/10.1093/rfs/1.1.41openalex-extracted
Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test
inferredcites →https://doi.org/10.1111/0022-1082.85732openalex-extracted
Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
inferredcites →https://doi.org/10.1111/j.1540-6261.1987.tb02568.xopenalex-extracted
The Pricing of Options on Assets with Stochastic Volatilities
inferredcites →https://doi.org/10.1111/j.1540-6261.1991.tb04646.xopenalex-extracted
Chaos and Nonlinear Dynamics: Application to Financial Markets
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05128.xopenalex-extracted
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
inferredcites →https://doi.org/10.1137/0111030openalex-extracted
An Algorithm for Least-Squares Estimation of Nonlinear Parameters
inferredcites →https://doi.org/10.1142/1490openalex-extracted
Nonlinear Dynamics and Chaos
inferredcites →https://doi.org/10.2139/ssrn.2804983openalex-extracted
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Time Series Analysis.
inferredcites →https://doi.org/10.2307/2938260openalex-extracted
Conditional Heteroskedasticity in Asset Returns: A New Approach
inferredcites →https://doi.org/10.2307/j.ctt7skm5openalex-extracted
The Econometrics of Financial Markets
inferredcites →https://doi.org/10.3386/w4718openalex-extracted
A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks
inferredcites →https://doi.org/10.3905/jod.1994.407912openalex-extracted
Volatility Prediction
inferredcites →https://doi.org/10.1002/asmb.551openalex-snapshot
Predictability and model selection in the context of ARCH models
inferredcites →https://doi.org/10.1016/0304-4076(90)90098-eopenalex-snapshot
An Econometric Analysis of Nonsynchronous Trading
inferredcites →https://doi.org/10.1016/0304-4076(90)90101-xopenalex-snapshot
Alternative models for conditional stock volatility
inferredcites →https://doi.org/10.1214/aos/1176344136openalex-snapshot
Estimating the Dimension of a Model
inferredcites →https://doi.org/10.3386/w6023openalex-snapshot
Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts

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Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.816584openalex-extracted
On the Independence of the Standardized One-Step-Ahead Prediction Errors in Arch Models
inferred← citeshttps://doi.org/10.1016/j.csda.2004.05.030openalex-snapshot
Evaluating volatility forecasts in option pricing in the context of a simulated options market
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