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The Model Confidence Set
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Centre for Analytical Finance <Århus>
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Testing the significance of calendar effects
Hansen, Peter Reinhard
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2003
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[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001732977
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Consistent preordering with an estimated criterion function, with an application to evaluation and comparison of volatility models
Hansen, Peter Reinhard
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contributor
); …
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2003
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[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001732980
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3
A comparison of volatility models : does anything beat a GARCH(1,1)?
Hansen, Peter Reinhard
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contributor
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2001
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[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563856
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Regular and modified kernel-based estimators of integrated variance : the case with independent noise
Barndorff-Nielsen, Ole E.
;
Hansen, Peter Reinhard
; …
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2004
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[Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491800
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5
The NIG-S&ARCH model : a fat tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
Jensen, Morten Berg
(
contributor
);
Lunde, Asger
(
contributor
)
-
2001
-
[Elektronische Resource]
Persistent link: https://www.econbiz.de/10001563855
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