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Consistent ranking of volatility models

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  • Hansen, Peter Reinhard
  • Lunde, Asger

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  • Hansen, Peter Reinhard & Lunde, Asger, 2006. "Consistent ranking of volatility models," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 97-121.
    • Handle: RePEc:eee:econom:v:131:y:2006:i:1-2:p:97-121
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