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- W1593396317 abstract "In this paper we consider the selection of the information set in ARMA- GARCH models using the methodology proposed in Munoz et al. (2001) based on ideas of Phillips (1996). To that end, we analyse the performance of some selection criteria asymptotically equivalent to the Bayes factor and propose a method to build approximated Bayesian forecast intervals." @default.
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- W1593396317 date "2003-03-01" @default.
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- W1593396317 title "Selection of the Informative Base in ARMA-GARCH Models" @default.
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