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~isPartOf:"Working papers / Brown University, Department of Economics"
~person:"Hansen, Peter Reinhard"
~type_genre:"Konferenzschrift"
~type_genre:"Non-commercial literature"
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Choosing the best volatility models : the model confidence set approach
Hansen, Peter Reinhard
(
contributor
); …
-
2003
-
[Elektronische Ressource]
approach to model selection. This method neither assumes
knowledge
of the correct specification, nor does it require that the … selection. There is no need to assume
knowledge
of the “true” data generating process or the optimal forecasting model in order …
Persistent link: https://www.econbiz.de/10001752607
Saved in:
2
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]
Criterion Function 2.2 CONSISTENCY OF THE EMPIRICAL PREORDERING Without
knowledge
about the probability measure, P, it is not … people with
knowledge
about volatility models would not believe this result, as the ARCH model is unable to capture the …
Persistent link: https://www.econbiz.de/10001752573
Saved in:
3
Asymptotic tests of composite hypotheses
Hansen, Peter Reinhard
(
contributor
)
-
2003
-
[Elektronische Ressource]
testing of multiple linear 5 Naturally, for R C α−δ n ,n to be an exact α-level test,
knowledge
about the finite sample …
Persistent link: https://www.econbiz.de/10001752616
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