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The Model Confidence Set Package for R · Study

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PreprintThe Model Confidence Set Package for R

Mauro Bernardi2015

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Preprintgreen2015

The Model Confidence Set Package for R

Mauro Bernardi · Leopoldo Catania

36 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Forecasting Techniques and Applications Data Analysis with R

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1993A long memory property of stock market returns and a new model 1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model 1994Threshold heteroskedastic models 1986Modelling the persistence of conditional variances

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Details

Year2015

Typepreprint

Published2015-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations36

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.2692118

openalex_workW1684902893

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