Department of Management

Choosing the Best Volatility Models: The Model Confidence Set Approach

Publication: Research - peer-reviewJournal article

  • Peter R. Hansen
    Peter R. HansenDenmark
  • Asger Lunde
  • James M. Nason
    James M. NasonDenmark
Original languageEnglish
JournalOxford Bulletin of Economics and Statistics
Volume65
Pages (from-to)839-861
Number of pages23
ISSN0305-9049
StatePublished - 2003

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