Whichmodeltomatch.PDF

WHICH MODEL TO MATCH? 2012 Matteo Barigozzi, Roxana Halbleib and David Veredas Documentos de Trabajo N.º 1229 WHICH MODEL TO MATCH? WHICH MODEL TO MATCH? Matteo Barigozzi (*) (***) LONDON SCHOOL OF ECONOMICS AND POLITICAL SCIENCE AND ECARES Roxana Halbleib (**) UNIVERSITY OF KONSTANZ David Veredas (***) UNIVERSITÉ LIBRE DE BRUXELLES (*) London School of Economics and Political Science; email: m.barigozzi@lse.ac.uk. (**) University of Konstanz; email: roxana.halbleib@uni-konstanz.de. (***) ECARES, Solvay Brussels School of Economics and Management, Université libre de Bruxelles; email: david.veredas@ulb.ac.be. This work was written while David Veredas was visiting the Department of Monetary and Financial Studies at the Banco de España (Madrid, Spain). Roxana Halbleib acknowledges financial support from the European Social Fund and from the Ministry of Science, Research and the Arts Baden-Württemberg. David Veredas acknowledges financial support from the Belgian National Bank and the IAP P6/07 contract, from the IAP programme (Belgian Scientific Policy), ‘Economic policy and finance in the global economy’. David Veredas is member of ECORE, the association between CORE and ECARES. We are grateful to Francisco Blasques, Christian Brownlees, Richard Davis, Miguel Ángel Delgado, Eric Ghysels, Alastair Hall, Marc Hallin, Atsushi Inoue, Paolo Santucci de Magistris, Olivier Scaillet and Enrique Sentana for insightful remarks. We also acknowledge the useful feedback from the participants of the International Symposium in Statistics and Financial Time Series (Wakayama, Japan), the Interdisciplinary Workshop on Econometric and Statistical Modelling of Multivariate Time Series (Louvain-la-neuve, Belgium), the DFHWorkshop in Econometrics (Königsfeld, Germany), the conference on Statistical Models for Financial Data (Graz, Austria), and the Workshop