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A forecast comparison of volatility models : does anything beat a GARCH (1,1)?

Hansen, Peter Reinhard (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001566773

Choosing the best volatility models : the model confidence set approach

Hansen, Peter Reinhard (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001752607

A comparison of volatility models : does anything beat a GARCH(1,1)?

Hansen, Peter Reinhard (contributor); … - 2001 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001563856

Choosing the best volatility models : the model confidence set approach

Hansen, Peter Reinhard; Lunde, Asger; Nason, James Michael - 2003

Persistent link: https://www.econbiz.de/10001831943

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

Choosing the Best Volatility Models : The Model Confidence Set Approach

Hansen, Peter Reinhard; Lunde, Asger; Nason, James Michael - 2014

This paper applies the model confidence sets (MCS) procedure to a set of volatility models. A MSC is analogous to a confidence interval of parameter in the sense that the former contains the best forecasting model with a certain probability. The key to the MCS is that it acknowledges the...

Persistent link: https://www.econbiz.de/10014048659