Consistent ranking of volatility models (Q292007): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2005.01.005
@@ Property / DOI: 10.1016/j.jeconom.2005.01.005 / rank @@
-Normal rank
@@ Property / cites work @@
+The Distribution of Realized Exchange Rate Volatility
+Normal rank
@@ Property / cites work @@
+Modeling and Forecasting Realized Volatility
@@ Property / cites work: Modeling and Forecasting Realized Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Fractionally integrated generalized autoregressive conditional heteroskedasticity
+Normal rank
@@ Property / cites work @@
+Microstructure Noise, Realized Variance, and Optimal Sampling
+Normal rank
@@ Property / cites work @@
+Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+On measuring volatility of diffusion processes with high frequency data
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Tests of equal forecast accuracy and encompassing for nested models
+Normal rank
@@ Property / cites work @@
+Predictive density and conditional confidence interval accuracy tests
+Normal rank
@@ Property / cites work @@
+Predictive ability with cointegrated variables
@@ Property / cites work: Predictive ability with cointegrated variables / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation and Testing of Forecast Rationality under Flexible Loss
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+What good is a volatility model?
@@ Property / cites work: What good is a volatility model? / rank @@
+Normal rank
@@ Property / cites work @@
+Tests of Conditional Predictive Ability
@@ Property / cites work: Tests of Conditional Predictive Ability / rank @@
+Normal rank
@@ Property / cites work @@
+Prediction with a Generalized Cost of Error Function
+Normal rank
@@ Property / cites work @@
+On the selection of forecasting models
@@ Property / cites work: On the selection of forecasting models / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
+Normal rank
@@ Property / cites work @@
+Fourier series method for measurement of multivariate volatilities
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Information criteria for selecting possibly misspecified parametric models
+Normal rank
@@ Property / cites work @@
+Asymptotic Inference about Predictive Ability
@@ Property / cites work: Asymptotic Inference about Predictive Ability / rank @@
+Normal rank
@@ Property / cites work @@
+A Reality Check for Data Snooping
@@ Property / cites work: A Reality Check for Data Snooping / rank @@
+Normal rank
@@ Property / cites work @@
+Threshold heteroskedastic models
@@ Property / cites work: Threshold heteroskedastic models / rank @@
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.JECONOM.2005.01.005
@@ Property / DOI: 10.1016/J.JECONOM.2005.01.005 / rank @@
+Normal rank