Choosing the best volatility models: the model confidence set approach

Article Abstract:

The model confidence set is applied to volatility models, and findings show it will capture superior models over a range of different significance levels. The set's strength is that it accommodates information limitations in given data.

Denmark, Methods, Comparative analysis, Econometric models, Confidence intervals

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A note on the selection of time series models

Article Abstract:

A study examining the selection of time series models such as autoregression using information criteria, is presented.

Usage, Autoregression (Statistics), Time-series analysis, Time series analysis

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Evaluating New-Keynesian models of a small open economy

Article Abstract:

A study evaluating the members of a class of New-Keynesian models of a small open economy, is presented.

Analysis, Keynesian economics, Open economy

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