Peter Reinhard Hansen, Asger Lunde. Does anything beat a GARCH(1, 1)? A comparison based on test for superior predictive ability. In 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, CIFEr 2003, Hong Kong, March 20-23, 2003. pages 301-307, IEEE, 2003. [doi]
@inproceedings{HansenL03,
title = {Does anything beat a GARCH(1, 1)? A comparison based on test for superior predictive ability},
author = {Peter Reinhard Hansen and Asger Lunde},
year = {2003},
doi = {10.1109/CIFER.2003.1196275},
url = {http://dx.doi.org/10.1109/CIFER.2003.1196275},
researchr = {https://researchr.org/publication/HansenL03},
cites = {0},
citedby = {0},
pages = {301-307},
booktitle = {2003 IEEE International Conference on Computational Intelligence for Financial Engineering, CIFEr 2003, Hong Kong, March 20-23, 2003},
publisher = {IEEE},
isbn = {0-7803-7654-4},
}