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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

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

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

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

Realized beta GARCH : a multivariate GARCH model with realized measures of volatility

Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri - In: Journal of applied econometrics 29 (2014) 5, pp. 774-799

Persistent link: https://www.econbiz.de/10010414850

Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error

Hansen, Peter Reinhard; Lunde, Asger - 2010

An economic time series can often be viewed as a noisy proxy for an underlying economic variable. Measurement errors will influence the dynamic properties of the observed process and may conceal the persistence of the underlying time series. In this paper we develop instrumental variable (IV)...

Persistent link: https://www.econbiz.de/10014198167