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
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- Identifier
- SSRN 4546356
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