A consistent variable selection procedure for GARCH-X models is introduced via multiple Wald tests controlled by Benjamini-Yekutieli FDR, with asymptotic consistency proven and validated on simulations and S&P 500 data.
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Consistent Variable Selection for GARCH-X Models
A consistent variable selection procedure for GARCH-X models is introduced via multiple Wald tests controlled by Benjamini-Yekutieli FDR, with asymptotic consistency proven and validated on simulations and S&P 500 data.