"Does anything beat a GARCH(1, 1)? A comparison based on test for superior ..."

Peter Reinhard Hansen, Asger Lunde (2003)

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DOI: 10.1109/CIFER.2003.1196275

access: closed

type: Conference or Workshop Paper

metadata version: 2019-10-19

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Peter Reinhard Hansen, Asger Lunde:
Does anything beat a GARCH(1, 1)? A comparison based on test for superior predictive ability. CIFEr 2003: 301-307

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