Choosing the Best Volatility Models: The Model Confidence Set Approach*
- 12 December 2003
- journal article
- Published by Wiley in Oxford Bulletin of Economics and Statistics
- Vol. 65 (s1) , 839-861
- https://doi.org/10.1046/j.0305-9049.2003.00086.x
Abstract
No abstract availableKeywords
All Related Versions
This publication has 32 references indexed in Scilit:
- Asymptotic Tests of Composite HypothesesSSRN Electronic Journal, 2003
- Spiders: Where Are the Bugs?The Journal of Business, 2002
- Statistical algorithms for models in state space using SsfPack 2.2The Econometrics Journal, 1999
- Regression-Based Tests of Predictive AbilityInternational Economic Review, 1998
- Comparing Predictive AccuracyJournal of Business & Economic Statistics, 1995
- A Class of Nonlinear Arch ModelsInternational Economic Review, 1992
- Testing for Unit Roots in Time Series DataEconometric Theory, 1989
- Generalized autoregressive conditional heteroskedasticityJournal of Econometrics, 1986
- CommentEconometric Reviews, 1986
- CommetEconometric Reviews, 1986