References
- Amisano, G., and R. Giacomini. 2007. “Comparing Density Forecasts via Weighted Likelihood Ratio Tests.” Journal of Business & Economic Statistics 25: 177–190. doi:10.1198/073500106000000332.
- Bollerslev, T. 1987. “A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return.” The Review of Economics and Statistics 69: 542–547. doi:10.2307/1925546.
- Box, G. E. P., and G. M. Jenkins. 1970. Time Series Analysis, Forecasting and Control. San Francisco: Holden-Day.
- Granger, C. W. J., and M. H. Pesaran. 2000a. “A Decision Theoretic Approach to Forecast Evaluation.” In Statistics and Finance: An Interface, edited by W. S. Chan, W. K. Li, and W. Tong, 261–278. London: Imperial College Press.
- Granger, C. W. J., and M. H. Pesaran. 2000b. “Economic and Statistical Measures of Forecast Accuracy.” Journal of Forecasting 19: 537–560. doi:10.1002/1099-131X(200012)19:7<537::AID-FOR769>3.0.CO;2-G.
- Hansen, P. R., and A. Lunde. 2005. “A Forecast Comparison of Volatility Models: Does Anything Beat A GARCH(1,1)?” Journal of Applied Econometrics 20: 873–889. doi:10.1002/(ISSN)1099-1255.
- Harvey, A. C. 2013. Dynamic Models for Volatility and Heavy Tails. Cambridge: Cambridge University Press.
- Harvey, A. C., and T. Chakravarty. 2008. “Beta-t-(E)GARCH.” Cambridge Working Papers in Economics 0840, Faculty of Economics, University of Cambridge, Cambridge.
- Harvey, A. C., E. Ruiz, and N. Shephard. 1994. “Multivariate Stochastic Variance Models.” The Review of Economic Studies 61: 247–264. doi:10.2307/2297980.
- Harvey, A. C., and N. Shephard. 1996. “Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns.” Journal of Business & Economic Statistics 14: 429–434.