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Designing realized Kernels to measure the ex post variation of equity prices in the presence of noise

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 6, pp. 1481-1536

Persistent link: https://www.econbiz.de/10003797079

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

A forecast comparison of volatility models : does anything beat a GARCH (1,1)?

Hansen, Peter Reinhard; Lunde, Asger - In: Journal of applied econometrics 20 (2005) 7, pp. 873-889

Persistent link: https://www.econbiz.de/10003243445

Choosing the best volatility models : the model confidence set approach

Hansen, Peter Reinhard; Lunde, Asger; Nason, James Michael - In: Oxford bulletin of economics and statistics 65 (2003) suppl, pp. 839-861

Persistent link: https://www.econbiz.de/10001860213

Choosing the best volatility models : the model confidence set approach

Hansen, Peter Reinhard; Lunde, Asger; Nason, James Michael - 2003

Persistent link: https://www.econbiz.de/10001831943

Choosing the best volatility models : the model confidence set approach

Hansen, Peter Reinhard (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001752607

A comparison of volatility models : does anything beat a GARCH(1,1)?

Hansen, Peter Reinhard (contributor); … - 2001 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001563856

A forecast comparison of volatility models : does anything beat a GARCH (1,1)?

Hansen, Peter Reinhard (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001566773

Limit theorems for multipower variation in the presence of jumps

Barndorff-Nielsen, Ole E. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003178720

A test for superior predictive ability

Hansen, Peter Reinhard - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 4, pp. 365-380

Persistent link: https://www.econbiz.de/10003193404

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