Consistent ranking of volatility models
From MaRDI portal
Publication:292007
DOI10.1016/j.jeconom.2005.01.005zbMath1337.62366OpenAlexW3123985237MaRDI QIDQ292007
Peter Reinhard Hansen, Asger Lunde
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.01.005
Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Stochastic models in economics (91B70)
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