Papers using a test for SPA -- let other know about them here...
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reinhar...@gmail.com
May 31, 2007, 3:14:30 PM5/31/07
to Testing for Superior Predictive Ability
If you have written a paper that applies or discusses the theory of
testing for SPA. The you can post the title and abstract of the paper
here... also consider posting a link to your paper, or upload it as a
pdf file to this group.
testing for SPA. The you can post the title and abstract of the paper
here... also consider posting a link to your paper, or upload it as a
pdf file to this group.
reinhar...@gmail.com
May 31, 2007, 3:18:05 PM5/31/07
to Testing for Superior Predictive Ability
"A forecast comparison of volatility models: Does anything beat a
GARCH(1,1)?", by Hansen and Lunde
Journal of Applied Econometrics (2005), Vol 20 pp. 873-889.
Link: http://ssrn.com/paper=264571
GARCH(1,1)?", by Hansen and Lunde
Journal of Applied Econometrics (2005), Vol 20 pp. 873-889.
Link: http://ssrn.com/paper=264571
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