MCS: Model Confidence Set Procedure

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

Author
Leopoldo Catania & Mauro Bernardi
Date of publication
2015-03-22 22:51:47
Maintainer
Leopoldo Catania <leopoldo.catania@gmail.com>
License
GPL-2
Version
0.1.1

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Man pages

Loss
Matrix of Value at Risk losses coming from 10 ARCH-type...
LossLevel
Loss Function for level forecasts
LossVaR
Loss Function for VaR forecasts
LossVol
Loss Function for volatility forecasts
MCS-package
Model Confidence Set procedure
MCSprocedure
MCSprocedure
SSM-class
SSM-class
SSM-methods
SSM-methods
STOXXIndexesRet
STOXX indexes logarithmic returns from 1992-01-02 to...

Files in this package

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