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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

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

Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri - 2012

Persistent link: https://www.econbiz.de/10009682612

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

Consistent ranking of volatility models

Hansen, Peter Reinhard; Lunde, Asger - In: Journal of econometrics 131 (2006) 1/2, pp. 97-121

Persistent link: https://www.econbiz.de/10003298566

A realized variance for the whole day based on intermittent high-frequency data

Hansen, Peter Reinhard; Lunde, Asger - In: Journal of financial econometrics : official journal of … 3 (2005) 4, pp. 525-554

Persistent link: https://www.econbiz.de/10003154305

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

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...