Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models
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More about this item
KeywordsDeviance information criterion; Markov chain Monte Carlo algorithms; Block bootstrap; Conditional Kolmogorov test; CIR and Vasicek models;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G0 - Financial Economics - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-13 (All new papers)
- NEP-ECM-2011-12-13 (Econometrics)
- NEP-ETS-2011-12-13 (Econometric Time Series)
- NEP-FOR-2011-12-13 (Forecasting)
- NEP-ORE-2011-12-13 (Operations Research)
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