• NEP-ALL-2003-04-27 (All new papers)
• NEP-ECM-2003-05-15 (Econometrics)
• NEP-ETS-2003-04-27 (Econometric Time Series)
• NEP-FIN-2003-04-27 (Finance)
• NEP-RMG-2003-04-27 (Risk Management)

1. Clark, Todd E. & McCracken, Michael W., 2001. "Tests of equal forecast accuracy and encompassing for nested models," Journal of Econometrics, Elsevier, vol. 105(1), pages 85-110, November. [Downloadable!] (restricted)
   Other versions:
   • Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics. [Downloadable!]
   • Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society. [Downloadable!]
   • Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City. [Downloadable!]
2. 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. [Downloadable!]
   Other versions:
   • Asger Lunde & Peter R. Hansen, 2005. "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 873-889. [Downloadable!]
3. Peter Hansen & Asger Lunde, 2003. "Consistent Preordering with an Estimated Criterion Function, with an Application to the Evaluation and Comparison of Volatility Models," Working Papers 2003-01, Brown University, Department of Economics. [Downloadable!]
4. Sentana, Enrique, 1995. "Quadratic ARCH Models," Review of Economic Studies, Blackwell Publishing, vol. 62(4), pages 639-61, October. [Downloadable!] (restricted)
   Other versions:
   • Sentana,E., 1995. "Quadratic Arch Models," Papers 9517, Centro de Estudios Monetarios Y Financieros-.
5. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December. [Downloadable!] (restricted)
   Other versions:
   • Robert F. Engle & Victor K. Ng, 1991. "Measuring and Testing the Impact of News on Volatility," NBER Working Papers 3681, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
6. Higgins, Matthew L & Bera, Anil K, 1992. "A Class of Nonlinear ARCH Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(1), pages 137-58, February. [Downloadable!] (restricted)
   Other versions:
   • Matthew L. Higgins & Anil K. Bera, 1990. "A Class of Nonlinear Arch Models," University of California at San Diego, Economics Working Paper Series 90-40, Department of Economics, UC San Diego.
7. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
8. Hentschel, Ludger, 1995. "All in the family Nesting symmetric and asymmetric GARCH models," Journal of Financial Economics, Elsevier, vol. 39(1), pages 71-104, September. [Downloadable!] (restricted)
9. Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
   Other versions:
   • Koopman, S.J. & Shephard, N. & Doornik, J.A., 1998. "Statistical algorithms for models in state space using ssfpack 2.2," Discussion Paper 141, Tilburg University, Center for Economic Research. [Downloadable!]
10. W. Härdle & J. Horowitz & J.-P. Kreiss, . "Bootstrap Methods For Time Series," Sonderforschungsbereich 373 2001-59, Humboldt Universitaet Berlin.
11. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
    • Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December. [Downloadable!] (restricted)
12. Geoffrey F. Loudon & Wing H. Watt & Pradeep K. Yadav, 2000. "An empirical analysis of alternative parametric ARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(2), pages 117-136. [Downloadable!]
13. Ser-Huang Poon & Clive W. J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
14. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September. [Downloadable!] (restricted)
15. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June. [Downloadable!] (restricted)
    Other versions:
    • Zhuanxin Ding & Clive Granger & Robert Engle, 1992. "A Long Memory Property of Stock Market Returns and a New Model," University of California at San Diego, Economics Working Paper Series 92-21, Department of Economics, UC San Diego.
16. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-84, September. [Downloadable!] (restricted)
    Other versions:
    • Kenneth D. West, 1994. "Asymptotic Inference About Predictive Ability," Macroeconomics 9410002, EconWPA. [Downloadable!]
17. Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 365-380, October. [Downloadable!] (restricted)
18. Edwin J. Elton, 2002. "Spiders: Where Are the Bugs?," Journal of Business, University of Chicago Press, vol. 75(3), pages 453-472, July. [Downloadable!]
19. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2005. "Model confidence sets for forecasting models," Working Paper 2005-07, Federal Reserve Bank of Atlanta. [Downloadable!]
20. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
    Other versions:
    • Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    • Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.
21. Peter Hansen, 2003. "Asymptotic Tests of Composite Hypotheses," Working Papers 2003-09, Brown University, Department of Economics. [Downloadable!]
22. Kenneth D. West & Michael W. McCracken, 1998. "Regression-Based Tests of Predictive Ability," NBER Technical Working Papers 0226, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • West, Kenneth D & McCracken, Michael W, 1998. "Regression-Based Tests of Predictive Ability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 817-40, November.
23. Barucci, Emilio & Reno, Roberto, 2002. "On measuring volatility of diffusion processes with high frequency data," Economics Letters, Elsevier, vol. 74(3), pages 371-378, February. [Downloadable!] (restricted)
24. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Estimating quadratic variation using realised volatility," Economics Papers 2001-W20, Economics Group, Nuffield College, University of Oxford, revised 01 Nov 2001. [Downloadable!]
25. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
26. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July. [Downloadable!] (restricted)

Cited by:
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1. Dimitris Politis & Dimitrios Thomakos, 2007. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," Working Papers 0005, University of Peloponnese, Department of Economics. [Downloadable!]
   Other versions:
   • Dimitrios D. Thomakos & Dimitris N. Politis, 2007. "NoVaS Transformations: Flexible Inference for Volatility Forecasting," Working Paper Series 44-07, Rimini Centre for Economic Analysis, revised Jul 2007. [Downloadable!]
2. Gael M. Martin & Andrew Reidy & Jill Wright, 2009. "Does the option market produce superior forecasts of noise-corrected volatility measures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 77-104. [Downloadable!]
   Other versions:
   • Gael M. Martin & Andrew Reidy & Jill Wright, 2007. "Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?," Monash Econometrics and Business Statistics Working Papers 5/07, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
3. Adam Clements & Ralf Becker, 2009. "A nonparametric approach to forecasting realized volatility," NCER Working Paper Series 43, National Centre for Econometric Research. [Downloadable!]
4. Fabio Trojani & Francesco Audrino, 2005. "A general multivariate threshold GARCH model with dynamic conditional correlations," University of St. Gallen Department of Economics working paper series 2005 2005-04, Department of Economics, University of St. Gallen. [Downloadable!]
   Other versions:
   • Francesco Audrino & Fabio Trojani, 2007. "A general multivariate threshold GARCH model with dynamic conditional correlations," University of St. Gallen Department of Economics working paper series 2007 2007-25, Department of Economics, University of St. Gallen. [Downloadable!]
5. Francesco Audrino & Robert Fernholz & Roberto Ferretti, 2007. "A Forecasting Model for Stock Market Diversity," Annals of Finance, Springer, vol. 3(2), pages 213-240, March. [Downloadable!] (restricted)
6. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch Small und Mid Caps?," Sonderforschungsbereich 504 Publications 05-10, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
7. Trino-Manuel Niguez & Javier Perote, 2004. "Forecasting the density of asset returns," STICERD - Econometrics Paper Series /2004/479, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
8. Maurício Yoshinori Une & Marcelo Savino Portugal, 2005. "Can fear beat hope? A story of GARCH-in-Mean-Level effects for Emerging Market Country Risks," Econometrics 0509006, EconWPA. [Downloadable!]
9. Stavros Degiannakis & Evdokia Xekalaki, 2007. "Assessing the performance of a prediction error criterion model selection algorithm in the context of ARCH models," Applied Financial Economics, Taylor and Francis Journals, vol. 17(2), pages 149-171, January. [Downloadable!] (restricted)
10. Joseph P & Romano & Azeem M. Shaikh & Michael Wolf, 2005. "Formalized Data Snooping Based on Generalized Error Rates," IEW - Working Papers iewwp259, Institute for Empirical Research in Economics - IEW. [Downloadable!]
    Other versions:
    • Romano, Joseph P. & Shaikh, Azeem M. & Wolf, Michael, 2008. "Formalized Data Snooping Based On Generalized Error Rates," Econometric Theory, Cambridge University Press, vol. 24(02), pages 404-447, April. [Downloadable!]