A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?

Asger Lunde () and Peter Hansen

No 2001-04, Working Papers from Brown University, Department of Economics

Date: 2001
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fin
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Journal Article: A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)
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