MCS: Model Confidence Set Procedure

Perform the model confidence set procedure of Hansen et al (2011).

Install the latest version of this package by entering the following in R:
install.packages("MCS")
AuthorLeopoldo Catania & Mauro Bernardi
Date of publication2015-03-22 22:51:47
MaintainerLeopoldo Catania <leopoldo.catania@gmail.com>
LicenseGPL-2
Version0.1.1

View on CRAN

Files

inst
inst/doc
inst/doc/The_Model_Confidence_Set_Package_for_R.pdf
NAMESPACE
data
data/Loss.rda
data/STOXXIndexesRet.rda
R
R/MCS.R
MD5
DESCRIPTION
man
man/Loss.Rd man/MCS-package.Rd man/LossVol.Rd man/SSM-methods.Rd man/STOXXIndexesRet.Rd man/LossVaR.Rd man/MCSprocedure.Rd man/LossLevel.Rd man/SSM-class.Rd

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