Department of Management

Choosing the Best Volatility Models: The Model Confidence Set Approach

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  • Peter R. Hansen, Denmark
  • Asger Lunde
  • James M. Nason, Denmark
Original languageEnglish
JournalOxford Bulletin of Economics and Statistics
Pages (from-to)839-861
Number of pages23
Publication statusPublished - 2003

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