Extended AIC model based on high order moments and its application in the financial market
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DOI: 10.1016/j.physa.2018.02.159
Abstract: Abstract In this paper, an extended method of traditional Akaike Information Criteria(AIC) is proposed to detect the volatility of time series by combining it with higher order moments, such as skewness and kurtosis. Since measures… read more here.
Keywords: order; time series; financial market; order moments ... See more keywords