HIGHLIGHTS
- who: Thomas Chuffart from the Aix-Marseille University (Aix Marseille School of Economics), CNRS and EHESS, Marseille, have published the paper: Selection Criteria in Regime Switching Conditional Volatility Models, in the Journal: Econometrics 2015, 3, 289-316 of 11/05/2015
- what: The authors investigate whether the most commonly used selection criteria lead to choice of the right specification in a regime switching framework. The authors focus on two types of models: the Logistic Smooth Transition GARCH and the Markov-Switching GARCH models. Ever since Engle developed the Autoregressive Conditional Heteroskedasticity (ARCH) models which provide . . .
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