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A Markov chain estimator of multivariate volatility from high frequency data
Hansen, Peter Reinhard; Horel, Guillaume; Lunde, Asger; … - 2015
Persistent link: https://www.econbiz.de/10010514600
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Realized beta GARCH : a multivariate GARCH model with realized measures of volatility and covolatility
Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri - 2010
Persistent link: https://www.econbiz.de/10008746092
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Estimating the persistence and the autocorrelation function of a time series that this measured with error
Hansen, Peter Reinhard; Lunde, Asger - 2010
Persistent link: https://www.econbiz.de/10003934448
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The model confidence set
Hansen, Peter Reinhard; Lunde, Asger; Nason, James Michael - 2010
Persistent link: https://www.econbiz.de/10008780026
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A martingale decomposition of discrete Markov chains
Hansen, Peter Reinhard - 2015
Persistent link: https://www.econbiz.de/10010514601
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Realized GARCH : a complete model of returns and realized measures of volatility
Hansen, Peter Reinhard; Huang, Zhuowei; Shek, Howard Howan - 2010
Persistent link: https://www.econbiz.de/10003941851
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Quadratic variation by Markov chains
Hansen, Peter Reinhard; Horel, Guillaume - 2009
Persistent link: https://www.econbiz.de/10003849527
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Equivalence between out-of-sample forecast comparisons and Wald statistics
Hansen, Peter Reinhard; Timmermann, Allan - 2012
Persistent link: https://www.econbiz.de/10009660753
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Exponential GARCH modeling with realized measures of volatility
Hansen, Peter Reinhard; Huang, Zhuo - 2012
Persistent link: https://www.econbiz.de/10009660759
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Choice of sample split in out-of-sample forecast evaluation
Hansen, Peter Reinhard; Timmermann, Allan - 2012
Persistent link: https://www.econbiz.de/10009660807