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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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Latent integrated stochastic volatility, realized volatility, and implied volatility : a state space approach
Bach, Christian; Christensen, Bent Jesper - 2010
Persistent link: https://www.econbiz.de/10008857837
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The model confidence set
Hansen, Peter Reinhard; Lunde, Asger; Nason, James Michael - In: Econometrica : journal of the Econometric Society, an … 79 (2011) 2, pp. 453-497
Persistent link: https://www.econbiz.de/10009124290
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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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Identification and inference in dynamic programming models
Christensen, Bent Jesper; Kiefer, Nicholas Maximilian - In: Structural models of wage and employment dynamics : …, (pp. 331-364). 2006
Persistent link: https://www.econbiz.de/10003331586
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The Model Confidence Set
Hansen, Peter Reinhard; Lunde, Asger; Nason, James M. - 2014
This paper introduces the model confidence set (MCS) and applies it to the selection of models. An MCS is a set of models that is constructed so that it will contain the best model with a given level of confidence. The MCS is in this sense analogous to a confidence interval for a parameter. The...
Persistent link: https://www.econbiz.de/10014048585
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How should parameter estimation be tailored to the objective?
Hansen, Peter Reinhard; Dumitrescu, Elena-Ivona - In: Journal of econometrics 230 (2022) 2, pp. 535-558
Persistent link: https://www.econbiz.de/10013464115