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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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The ACR model : a multivariate dynamic mixture autoregression
Bec, Frédérique; Rahbek, Anders; Shephard, Neil G. - In: Oxford bulletin of economics and statistics 70 (2008) 5, pp. 583-618
Persistent link: https://www.econbiz.de/10003759114
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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
Cover Image
The ACR Model: A Multivariate Dynamic Mixture Autoregression
Bec, Frédérique; Rahbek, Anders; Shephard, Neil - In: Oxford bulletin of economics and statistics 70 (2008) 5, pp. 583-618
Persistent link: https://www.econbiz.de/10008103830