Department of Management

Does Anything Beat a GARCH(1,1)? A Comparison Based on Test for Superior Predictive Ability

Research output: Contribution to book/anthology/report/proceedingArticle in proceedingsResearch

Standard

Does Anything Beat a GARCH(1,1)? A Comparison Based on Test for Superior Predictive Ability. / Hansen, Peter R.; Lunde, Asger.

Proceedings for The 2003 IEEE International Conference on Computational Intelligence for Financial Engineering. IEEE Computer Society Press, 2003. p. 301-307.

Research output: Contribution to book/anthology/report/proceedingArticle in proceedingsResearch

Harvard

Hansen, PR & Lunde, A 2003, Does Anything Beat a GARCH(1,1)? A Comparison Based on Test for Superior Predictive Ability. in Proceedings for The 2003 IEEE International Conference on Computational Intelligence for Financial Engineering. IEEE Computer Society Press, pp. 301-307, Does Anything Beat a GARCH(1,1)? A Comparison Based on Test for Superior Predictive Ability, 18/12/2010.

APA

Hansen, P. R., & Lunde, A. (2003). Does Anything Beat a GARCH(1,1)? A Comparison Based on Test for Superior Predictive Ability. In Proceedings for The 2003 IEEE International Conference on Computational Intelligence for Financial Engineering (pp. 301-307). IEEE Computer Society Press.

CBE

Hansen PR, Lunde A. 2003. Does Anything Beat a GARCH(1,1)? A Comparison Based on Test for Superior Predictive Ability. In Proceedings for The 2003 IEEE International Conference on Computational Intelligence for Financial Engineering. IEEE Computer Society Press. pp. 301-307.

MLA

Hansen, Peter R. and Asger Lunde "Does Anything Beat a GARCH(1,1)? A Comparison Based on Test for Superior Predictive Ability". Proceedings for The 2003 IEEE International Conference on Computational Intelligence for Financial Engineering. IEEE Computer Society Press. 2003, 301-307.

Vancouver

Hansen PR, Lunde A. Does Anything Beat a GARCH(1,1)? A Comparison Based on Test for Superior Predictive Ability. In Proceedings for The 2003 IEEE International Conference on Computational Intelligence for Financial Engineering. IEEE Computer Society Press. 2003. p. 301-307

Author

Hansen, Peter R. ; Lunde, Asger. / Does Anything Beat a GARCH(1,1)? A Comparison Based on Test for Superior Predictive Ability. Proceedings for The 2003 IEEE International Conference on Computational Intelligence for Financial Engineering. IEEE Computer Society Press, 2003. pp. 301-307

Bibtex

@inproceedings{064c40a0252111daaf22000ea68e967b,
title = "Does Anything Beat a GARCH(1,1)? A Comparison Based on Test for Superior Predictive Ability",
author = "Hansen, {Peter R.} and Asger Lunde",
year = "2003",
language = "English",
pages = "301--307",
booktitle = "Proceedings for The 2003 IEEE International Conference on Computational Intelligence for Financial Engineering",
publisher = "IEEE Computer Society Press",
note = "Does Anything Beat a GARCH(1,1)? A Comparison Based on Test for Superior Predictive Ability ; Conference date: 18-12-2010",

}

RIS

TY - GEN

T1 - Does Anything Beat a GARCH(1,1)? A Comparison Based on Test for Superior Predictive Ability

AU - Hansen, Peter R.

AU - Lunde, Asger

PY - 2003

Y1 - 2003

M3 - Article in proceedings

SP - 301

EP - 307

BT - Proceedings for The 2003 IEEE International Conference on Computational Intelligence for Financial Engineering

PB - IEEE Computer Society Press

T2 - Does Anything Beat a GARCH(1,1)? A Comparison Based on Test for Superior Predictive Ability

Y2 - 18 December 2010

ER -