We consider a stochastic regression model defined by stochastic differential equations. Based on an expected Kullback-Leibler information for the approximated distributions, we propose an information criterion for selection of volatility models. We show that the information criterion is asymptotically unbiased for the expectedKullback-Leibler information.We also give examples and simulation results of model selection.
CITATION STYLE
Uchida, M., & Yoshida, N. (2015). Model selection for volatility prediction. In The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen (pp. 343–360). Springer International Publishing. https://doi.org/10.1007/978-3-319-25826-3_16
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