EconPapers    
Economics at your fingertips  
 

Choosing the Best Volatility Models:The Model Confidence Set Approach

Peter Hansen (), Asger Lunde () and James Nason ()

No 2003-05, Working Papers from Brown University, Department of Economics

New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fin and nep-rmg
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (48) Track citations by RSS feed

Downloads: (external link)
http://www.brown.edu/academics/economics/sites/bro ... 003/2003-5_paper.pdf (application/pdf)

Related works:
Journal Article: Choosing the Best Volatility Models: The Model Confidence Set Approach (2003) Downloads
Working Paper: Choosing the best volatility models: the model confidence set approach (2003) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:bro:econwp:2003-05

Access Statistics for this paper

More papers in Working Papers from Brown University, Department of Economics Department of Economics, Brown University, Providence, RI 02912.
Series data maintained by Brown Economics Webmaster ().

 
Page updated 2017-08-17
Handle: RePEc:bro:econwp:2003-05