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Model confidence sets for forecasting models

Hansen, Peter Reinhard; Lunde, Asger; Nason, James M. - 2005

The paper introduces the model confidence set (MCS) and applies it to the selection of forecasting models. An MCS is a set of models that is constructed so that it will contain the "best" forecasting model, given a level of confidence. Thus, an MCS is analogous to a confidence interval for a...

Persistent link: https://www.econbiz.de/10010397621

Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2008

Persistent link: https://www.econbiz.de/10003807445

Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2008

Persistent link: https://www.econbiz.de/10003818473

Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2009

Persistent link: https://www.econbiz.de/10003854421

A generalized Schwartz model for energy spot prices : estimation using a particle MCMC method

Floor Brix, Anne; Lunde, Asger; Wei, Wei - 2015

Persistent link: https://www.econbiz.de/10011373234

Estimating stochastic volatility models using predictionbased estimating functions

Lunde, Asger; Floor Brix, Anne - 2013

Persistent link: https://www.econbiz.de/10009763883

Estimating the persistence and the autocorrelation function of a time series that is measured with error

Hansen, Peter Reinhard; Lunde, Asger - In: Econometric theory 30 (2014) 1, pp. 60-93

Persistent link: https://www.econbiz.de/10010399787

Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Journal of econometrics 162 (2011) 2, pp. 149-169

Persistent link: https://www.econbiz.de/10009270667

Moving average-based estimators of integrated variance

Hansen, Peter Reinhard; Large, Jeremy; Lunde, Asger - In: Econometric reviews 27 (2008) 1/3, pp. 79-111

Persistent link: https://www.econbiz.de/10003761216

Discretization of Lévy semistationary processes with application to estimation

Bennedsen, Mikkel; Lunde, Asger; Pakkanen, Mikko S. - 2014

Persistent link: https://www.econbiz.de/10010388017

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