Modelling subset multivariate ARCH model via the AIC principle
文献类型：期刊论文
| 作者 | An, HZ; Fong, PW; Li, WK |
| 刊名 | SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY
 |
| 出版日期 | 2002-09-01 |
| 卷号 | 45期号:9页码:1089-1099 |
| 关键词 | AIC principle BIC multivariate ARCH model subset model |
| ISSN号 | 1006-9283 |
| 英文摘要 | 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. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000177647600001 |
| 出版者 | SCIENCE CHINA PRESS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/17043]  |
| 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. |
入库方式： OAI收割
来源：数学与系统科学研究院
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