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
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)
Journal Article: Choosing the Best Volatility Models: The Model Confidence Set Approach (2003)
Working Paper: Choosing the best volatility models: the model confidence set approach (2003)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://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 ().