MCS: Model Confidence Set Procedure
Version 0.1.1

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

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

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...

Functions

Loss Man page
LossLevel Man page Source code
LossVaR Man page Source code
LossVol Man page Source code
MCS Man page
MCS-package Man page
MCSprocedure Man page Source code
SSM-class Man page
STOXXIndexesRet Man page
boot.block Source code
d_b_i_mean.fun Source code
show,SSM-method Man page

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
MCS documentation built on May 19, 2017, 8:04 p.m.