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A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?
Lunde, Asger
;
Hansen, Peter Reinhard
-
Brown University, Department of Economics
-
2001
Persistent link: https://www.econbiz.de/10005181184
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Testing the Significance of Calendar Effects
Hansen, Peter
;
Lunde, Asger
-
Brown University, Department of Economics
-
2003
Persistent link: https://www.econbiz.de/10005181209
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3
Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models
Hansen, Peter
;
Lunde, Asger
-
Brown University, Department of Economics
-
2003
Persistent link: https://www.econbiz.de/10005181213
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4
Choosing the Best Volatility Models:The Model Confidence Set Approach
Hansen, Peter
;
Lunde, Asger
;
Nason, James M.
-
Brown University, Department of Economics
-
2003
Persistent link: https://www.econbiz.de/10005181216
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