Model Confidence Set Procedure
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Documentation for package ‘MCS’ version 0.1.3
Help Pages
| MCS-package | Model Confidence Set procedure |
| Loss | Matrix of Value at Risk losses coming from 10 ARCH-type models |
| LossLevel | Loss Function for level forecasts |
| LossVaR | Loss Function for VaR forecasts |
| LossVol | Loss Function for volatility forecasts |
| MCS | Model Confidence Set procedure |
| MCSprocedure | MCSprocedure |
| show-method | SSM-methods |
| SSM-class | SSM-class |
| STOXXIndexesRet | STOXX indexes logarithmic returns from 1992-01-02 to 2014-07-24 |