Package: MCS 0.1.3
Leopoldo Catania
MCS: Model Confidence Set Procedure
Perform the model confidence set procedure of Hansen et al (2011) <doi:10.3982/ECTA5771>.
Authors:
MCS_0.1.3.tar.gz
MCS_0.1.3.tar.gz(r-4.5-noble)MCS_0.1.3.tar.gz(r-4.4-noble)
MCS_0.1.3.tgz(r-4.4-emscripten)MCS_0.1.3.tgz(r-4.3-emscripten)
MCS.pdf |MCS.html✨
MCS/json (API)
| # Install 'MCS' in R: |
| install.packages('MCS', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Datasets:
- Loss - Matrix of Value at Risk losses coming from 10 ARCH-type models
- STOXXIndexesRet - STOXX indexes logarithmic returns from 1992-01-02 to 2014-07-24
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 7 years agofrom:b1067d8cdd. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 31 2024 |
| R-4.5-linux | OK | Oct 31 2024 |
Exports:LossLevelLossVaRLossVolMCSprocedureshow
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Model Confidence Set procedure | MCS-package MCS |
| Matrix of Value at Risk losses coming from 10 ARCH-type models | Loss |
| Loss Function for level forecasts | LossLevel |
| Loss Function for VaR forecasts | LossVaR |
| Loss Function for volatility forecasts | LossVol |
| MCSprocedure | MCSprocedure |
| SSM-methods | show,SSM-method |
| SSM-class | SSM-class |
| STOXX indexes logarithmic returns from 1992-01-02 to 2014-07-24 | STOXXIndexesRet |