We are grateful to Luc Bauwens, Casper Christophersen, Jurgen Doornik, Neil R. Ericsson, David F. Hendry, Sebastien Laurent, André Alves Portela Santos, Enrique Sentana, the editor, an anonymous reviewer, and seminar participants at University of Oslo, BI Norwegian Business School, Statistics Norway, CORE and Universidad de Navarra, and conference participants at the XVII Foro de Finanzas, the XXXIV Simposio Economico, Forskermøtet 2010 and the 8th OxMetrics User Conference, for helpful comments and suggestions. This research was supported by a Marie Curie Intra-European Fellowship within the 6th European Community Framework Programme, and funding from the Bank of Spain Excellence Program is gratefully acknowledged.
Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications*
Article first published online: 24 OCT 2011
© Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2011
Oxford Bulletin of Economics and Statistics
Volume 74, Issue 5, pages 716–735, October 2012
How to Cite
Sucarrat, G. and Escribano, A. (2012), Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications. Oxford Bulletin of Economics and Statistics, 74: 716–735. doi: 10.1111/j.1468-0084.2011.00669.x
- Issue published online: 11 SEP 2012
- Article first published online: 24 OCT 2011
- Final Manuscript Received: July 2011
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