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Choosing the best volatility models: The model confidence set approach

Hansen, Peter Reinhard; Lunde, Asger; Nason, James M. - 2003

This paper applies the Model Confidence Set (MCS) procedure of Hansen, Lunde, and Nason (2003) to a set of volatility models. A MCS is analogous to confidence interval of a parameter in the sense that the former contains the best forecasting model with a certain probability. The key to the MCS...

Persistent link: https://www.econbiz.de/10010318935

Output dynamics in real business cycle models

Cogley, Timothy; Nason, James Michael - 1993 - Rev

Persistent link: https://www.econbiz.de/10000895524

Output dynamics in real business cycle models

Cogley, Timothy; Nason, James Michael - 1994

Persistent link: https://www.econbiz.de/10000896660

Output dynamics in real business cycle models ; [Hauptbd.]

Cogley, Timothy - 1994

Persistent link: https://www.econbiz.de/10000896661

Output dynamics in real business cycle models ; Techn. app.

Cogley, Timothy - 1994

Persistent link: https://www.econbiz.de/10000896662

Do real business cycle models pass the Nelson-Plosser test?

Cogley, Timothy; Nason, James M. - 1992

Persistent link: https://www.econbiz.de/10000135964

The McKenna rule and UK World War I finance

Nason, James Michael (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003730886

Simple versus optimal rules as guides to policy

Brock, William A.; Durlauf, Steven N.; Nason, James Michael - 2007

Persistent link: https://www.econbiz.de/10003730895

Information criteria for impulse response function matching estimation of DSGE models

Hall, Alastair R.; Inoue, Atsushi; Nason, James Michael; … - 2008 - Rev.

Persistent link: https://www.econbiz.de/10003730903

Great moderations and US interest rates : unconditional evidence

Nason, James Michael (contributor); … - 2008 - Rev.

Persistent link: https://www.econbiz.de/10003732147

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