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ArticleConsistent ranking of volatility models

Peter Reinhard Hansen2005

OA

Articlegreen2005

Consistent ranking of volatility models

Peter Reinhard Hansen · Asger Lunde

379 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Forecasting Techniques and Applications

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 379 citations exist upstream.

References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1994Comparing Predictive Accuracy 2003Modeling and Forecasting Realized Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1993A long memory property of stock market returns and a new model 1994Threshold heteroskedastic models

Cited by

2019Multifractal analysis of financial markets: a review 2013Forecasting carbon futures volatility using GARCH models with energy volatilities 2012Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling 2006Measuring volatility with the realized range 2004Realized Variance and Market Microstructure Noise 2005A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data 2011Modelling and Forecasting Multivariate Realized Volatility 2009Evaluating Volatility and Correlation Forecasts

Details

Year2005

Typearticle

Published2005-03-08

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations379

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.jeconom.2005.01.005

openalex_workW3123985237

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