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

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