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MCS (version 0.1.3)

Model Confidence Set Procedure

Description

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

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Version

Install

install.packages('MCS')

Monthly Downloads

406

Version

0.1.3

License

GPL-2

Maintainer

Leopoldo Catania

Last Published

August 4th, 2017

Functions in MCS (0.1.3)

LossVaR

Loss Function for VaR forecasts
LossVol

Loss Function for volatility forecasts
STOXXIndexesRet

STOXX indexes logarithmic returns from 1992-01-02 to 2014-07-24
MCS-package

Model Confidence Set procedure
MCSprocedure

MCSprocedure
SSM-class

SSM-class
show,SSM-method

SSM-methods
Loss

Matrix of Value at Risk losses coming from 10 ARCH-type models
LossLevel

Loss Function for level forecasts