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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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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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Structural Changes in the Cointegrated Vector Autoregressive Model
Hansen, Peter Reinhard - Brown University, Department of Economics - 2000
Persistent link: https://www.econbiz.de/10005765574
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An Unbiased and Powerful Test for Superior Predictive Ability
Hansen, Peter Reinhard - Brown University, Department of Economics - 2001
Persistent link: https://www.econbiz.de/10005181203
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The Johansen-Granger Representation Theorem: A Closed Form Expression for I(1)Processes Creation-Date: 2000
Hansen, Peter Reinhard - Brown University, Department of Economics
Persistent link: https://www.econbiz.de/10005405695
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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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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