ML-QuantSubscribe

SSRNEconometrics & Forecasting

GARCH Model Selection Bias

Information criteria can impact the robustness of the News Impact Curve in financial time series due to their restrictive or slack nature when dealing with asymmetric volatility.

Featured in No. 13 on 24 Aug 2023 · 22 days after release

Released
2 Aug 2023
First featured
No. 13 · 24 Aug 2023
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
2
Identifier
SSRN 4546356

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

    Type to search. Try rough volatility, LLM agents or FinGPT.

    ↑↓ move↵ openesc closeFull search page