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

Date: 2003
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-fin and nep-rmg
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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)
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