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Consistent preordering with an estimated criterion function, with an application to evaluation and comparison of volatility models
Hansen, Peter Reinhard (contributor);  … - 2003 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001732980
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Consistent preordering with an estimated criterion function, with an application to the evaluation and comparison of volatility models
Hansen, Peter Reinhard (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001752573
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Testing the significance of calendar effects
Hansen, Peter Reinhard (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001752590
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Choosing the best volatility models : the model confidence set approach
Hansen, Peter Reinhard (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001752607
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The NIG-S&ARCH model : a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model
Jensen, Morten Berg; Lunde, Asger - In: The econometrics journal 4 (2001) 4, pp. 319-342
Persistent link: https://www.econbiz.de/10001651362
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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
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Regular and modified kernel-based estimators of integrated variance : the case with independent noise
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2004 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10002491800
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Trades and quotes : a bivariate point process
Engle, Robert F.; Lunde, Asger - In: Journal of financial econometrics : official journal of … 1 (2003) 2, pp. 159-188
Persistent link: https://www.econbiz.de/10002214089
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Regular and modified kernel-based estimator of integrated variance : the case with independent noise
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2004
Persistent link: https://www.econbiz.de/10002704173
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Model confidence sets for forecasting models
Hansen, Peter Reinhard (contributor);  … - 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/10002913539