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  • Search: subject:"Model Confidence Set"
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Year of publication
Subject
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Prognoseverfahren 65 Forecasting model 64 model confidence set 59 Model confidence set 47 Volatility 37 ARCH model 33 ARCH-Modell 33 Volatilität 32 Theorie 27 Theory 26 Estimation theory 24 Schätztheorie 24 Zeitreihenanalyse 20 Time series analysis 19 Model Confidence Set 18 Modellierung 16 Scientific modelling 16 MGARCH 15 Portfolio selection 15 Portfolio-Management 15 Estimation 11 Schätzung 11 Statistical test 11 Statistischer Test 11 Forecasting 10 Risikomaß 10 Risk measure 10 Correlation 9 Covariance forecasting 9 Forecast 9 Korrelation 9 Prognose 9 forecast evaluation 9 model comparison 9 model ranking 9 Capital income 8 Kapitaleinkommen 8 forecasting 8 Aktienmarkt 7 Artificial intelligence 7
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Online availability
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Free 64 Undetermined 52 CC license 1
Type of publication
All
Article 65 Book / Working Paper 61
Type of publication (narrower categories)
All
Article in journal 58 Aufsatz in Zeitschrift 58 Working Paper 22 Arbeitspapier 14 Graue Literatur 14 Non-commercial literature 14 Article 1 Hochschulschrift 1 Thesis 1
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Language
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English 92 Undetermined 31 Portuguese 3
Author
All
Caporin, Massimiliano 15 McAleer, Michael 15 Clements, Adam 6 Lehmann, Robert 5 Stentoft, Lars 5 Wohlrabe, Klaus 5 Becker, Ralf 4 Hutter, Christian 4 Koopman, Siem Jan 4 Laurent, Sébastien 4 Rombouts, Jeroen V.K. 4 Scharth, Marcel 4 Violante, Francesco 4 Weber, Enzo 4 Alfarano, Simone 3 Bauwens, Luc 3 Braione, Manuela 3 Caporin, M. 3 Degiannakis, Stavros 3 Doman, Ryszard 3 Hurn, Stan 3 Lucas, Andre 3 McAleer, M.J. 3 Milaković, Mishael 3 Mundt, Philipp 3 Rombouts, Jeroen 3 Storti, Giuseppe 3 Barde, Sylvain 2 Bernardi, Mauro 2 Catania, Leopoldo 2 Ceci, Donato 2 Cerqueira, Daniel 2 Cummins, Mark 2 Doman, Małgorzata 2 Doolan, M. B. 2 Doolan, Mark 2 Esposito, Francesco 2 Filis, George 2 Lins, Gabriel de Oliveira Accioly 2 Liu, Jing 2
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Institution
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School of Economics and Management, University of Aarhus 5 Department of Economics and Finance, College of Business and Economics 4 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 4 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 3 Erasmus University Rotterdam, Econometric Institute 3 Institute of Economic Research, Kyoto University 3 National Centre for Econometric Research (NCER) 3 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 2 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 2 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 2 Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova 1 Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia 1 Norges Bank 1 Tinbergen Institute 1 Tinbergen Instituut 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
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International journal of forecasting 9 CREATES Research Papers 5 Journal of forecasting 5 Applied economics 4 Econometric Institute Research Papers 4 Finance research letters 4 Journal of empirical finance 4 Working Papers in Economics 4 CORE Discussion Papers 3 Econometric Institute Report 3 Energy economics 3 KIER Working Papers 3 NCER Working Paper Series 3 CIRANO Working Papers 2 Cahiers de recherche 2 Documentos de Trabajo del ICAE 2 Economic modelling 2 International Journal of Forecasting 2 Journal of banking & finance 2 Journal of financial econometrics : official journal of the Society for Financial Econometrics 2 NCER working paper series 2 The energy journal 2 Tinbergen Institute Discussion Papers 2 Working papers 2 "Marco Fanno" Working Papers 1 ASTIN bulletin : the journal of the International Actuarial Association 1 Annals of economics and statistics 1 Annals of finance 1 Applied Economics 1 Applied economics letters 1 BERG Working Paper Series 1 BERG working paper series 1 CORE discussion papers : DP 1 Computational Statistics & Data Analysis 1 Computational economics 1 DEM Working Papers Series 1 Discussion Papers in Economics 1 Discussion paper / Tinbergen Institute 1 Discussion papers / University of Kent, School of Economics 1 Dynamic Econometric Models 1
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Source
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ECONIS (ZBW) 73 RePEc 43 EconStor 9 BASE 1
Showing 1 - 10 of 126
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Appraising model complexity in option pricing
Cummins, Mark; Esposito, Francesco - 2025
Persistent link: https://www.econbiz.de/10015376680
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Not all VIXs are (Informationally) equal : evidence from affine GARCH option pricing models
Escobar, Marcos; Stentoft, Lars; Ye, Xize - In: Finance research letters 69 (2024) 1, pp. 1-7
Persistent link: https://www.econbiz.de/10015079727
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Forecasting realized volatility : does anything beat linear models?
Branco, Rafael R.; Rubesam, Alexandre; Zevallos, Mauricio - In: Journal of empirical finance 78 (2024), pp. 1-22
Persistent link: https://www.econbiz.de/10015101660
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A novel robust method for estimating the covariance matrix of financial returns with applications to risk management
Leccadito, Arturo; Staino, Alessandro; Toscano, Pietro - In: Financial innovation : FIN 10 (2024), pp. 1-28
. Furthermore, we use the Model Confidence Set procedure to identify the superior set of models (SSM). For all the portfolios and …
Persistent link: https://www.econbiz.de/10015361657
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Nowcasting the state of the Italian economy : the role of financial markets
Ceci, Donato; Silvestrini, Andrea - 2022
Persistent link: https://www.econbiz.de/10013197656
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Statistical evaluation of deep learning models for stock return forecasting
Yilmaz, Firat Melih; Yildiztepe, Engin - In: Computational economics 63 (2024) 1, pp. 221-244
Persistent link: https://www.econbiz.de/10014472083
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Forecasting GDP growth : the economic impact of COVID-19 pandemic
Vrontos, Ioannis D.; Galakis, John; Panopulu, Aikaterinē; … - In: Journal of forecasting 43 (2024) 4, pp. 1042-1086
Persistent link: https://www.econbiz.de/10014554062
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A GARCH model selection and estimation method based on neural network with the loss function of mean square error and model confidence set
Huang, Yanhao; Ren, Ruibin - In: Journal of forecasting 43 (2024) 8, pp. 3177-3193
Persistent link: https://www.econbiz.de/10015110618
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Horizon confidence sets
Fosten, Jack; Gutknecht, Daniel - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 667-692
Persistent link: https://www.econbiz.de/10012616872
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Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts
Lis, Szymon; Chlebus, Marcin - 2021
Persistent link: https://www.econbiz.de/10012795166
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