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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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Tests for Cointegration in Models with Regime and Trend Shifts
Gregory, Allan W.; Hansen, Bruce E. - In: Oxford bulletin of economics and statistics 58 (1996) 3, pp. 555-560
Persistent link: https://www.econbiz.de/10006482415
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Choosing the Best Volatility Models: The Model Confidence Set Approach
Hansen, Peter Reinhard; Lunde, Asger; Nason, James M. - In: Oxford bulletin of economics and statistics 65 (2003), pp. 839-862
Persistent link: https://www.econbiz.de/10006431521