Choosing the Best Volatility Models: The Model Confidence Set Approach*
Version of Record online: 12 DEC 2003
Oxford Bulletin of Economics and Statistics
Volume 65, Issue Supplement s1, pages 839–861, December 2003
How to Cite
Hansen, P. R., Lunde, A. and Nason, J. M. (2003), Choosing the Best Volatility Models: The Model Confidence Set Approach. Oxford Bulletin of Economics and Statistics, 65: 839–861. doi: 10.1046/j.0305-9049.2003.00086.x
- Issue online: 12 DEC 2003
- Version of Record online: 12 DEC 2003
- Final Manuscript Received: October 2003
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