A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (JAE 2005)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Peter R. Hansen, Asger Lunde A forecast comparison of volatility models: does anything beat a GARCH(1,1)? JAE 2005 7 873–889 - -

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
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Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement

References

DOI: 10.1002/jae.800 IDEAS: a/jae/japmet/v20y2005i7p873-889.html EconPapers: RePEc:jae:japmet:v:20:y:2005:i:7:p:873-889


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