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A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?

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  • Asger Lunde & Peter Reinhard Hansen, 2001. "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?," Working Papers 2001-04, Brown University, Department of Economics.
    • Handle: RePEc:bro:econwp:2001-04
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