Choosing the Best Volatility Models: The Model Confidence Set Approach*
By P. R. Hansen, Asger Lunde, James M. Nason. 2003
238 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/0255cabc293c0c5e3629e4ac5f22f628a9c7bbcc
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- R. Becker
- A. Clements
- S. Hurn
- Francesco Violante
- Xiaonan Hu
- Jeroen V. K. Rombouts
- Yuetian Luo
- M. Doolan
In Finance
- R. Becker
- A. Clements
- S. Hurn
- Francesco Violante
- Jeroen V. K. Rombouts
- M. Doolan
- Sébastien-Yves Laurent
- W. Enders
Citations in the corpus
- Model confidence bounds for variable selection (2016, methodology): “Hansen et al. (2003, 2005) apply an MCS procedure in the context of volatility and forecasting models.”
- On the Forecasting Accuracy of Multivariate GARCH Models (2010, background): “The evaluation of univariate volatility forecasts is well understood, see Hansen and Lunde (2005), Hansen, Lunde, and Nason (2003), Becker and Clements (2008) among others.”
- Selecting volatility forecasting models for portfolio allocation purposes (2015, background): “See Hansen et al. (2003) for details. in Hansen, Lunde and Nason (2003).”