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  • Search: subject:"Model confidence set"
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Year of publication
Subject
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model confidence set 40 Prognoseverfahren 16 Forecasting model 15 Model Confidence Set 12 Model confidence set 12 Volatility 12 MGARCH 10 Theorie 9 Theory 8 Volatilität 8 ARCH model 7 ARCH-Modell 7 Estimation theory 7 Schätztheorie 7 forecast evaluation 7 model comparison 7 model ranking 7 forecasting 6 multivariate GARCH 6 Covariance forecasting 5 covariance forecasting 5 forecast combination 5 Forecasting 4 Generalised autoregressive score model 4 Importance sampling 4 Modellierung 4 Nonlinear state space model 4 Scientific modelling 4 Weibull-gamma mixture 4 Zeitreihenanalyse 4 Artificial intelligence 3 Financial market 3 Finanzmarkt 3 Künstliche Intelligenz 3 Multivariate volatility 3 Option pricing 3 Risikomaß 3 Risk measure 3 Time series analysis 3 Value-at-Risk 3
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Online availability
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Free 64 CC license 1
Type of publication
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Book / Working Paper 57 Article 7
Type of publication (narrower categories)
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Working Paper 22 Arbeitspapier 14 Graue Literatur 14 Non-commercial literature 14 Article in journal 5 Aufsatz in Zeitschrift 5 Article 1 Hochschulschrift 1 Thesis 1
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Language
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English 38 Undetermined 24 Portuguese 2
Author
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Caporin, Massimiliano 10 McAleer, Michael 10 Clements, Adam 4 Koopman, Siem Jan 4 Scharth, Marcel 4 Becker, Ralf 3 Caporin, M. 3 Hutter, Christian 3 Laurent, Sébastien 3 Lehmann, Robert 3 Lucas, Andre 3 McAleer, M.J. 3 Rombouts, Jeroen V.K. 3 Stentoft, Lars 3 Violante, Francesco 3 Weber, Enzo 3 Wohlrabe, Klaus 3 Alfarano, Simone 2 Barde, Sylvain 2 Cerqueira, Daniel 2 Doolan, Mark 2 Hurn, Stan 2 Lins, Gabriel de Oliveira Accioly 2 Lunde, Asger 2 Lux, Thomas 2 Milaković, Mishael 2 Mundt, Philipp 2 ROMBOUTS, Jeroen V. K. 2 Ravazzolo, Francesco 2 Rombouts, Jeroen 2 VIOLANTE, Francesco 2 Violente, Francesco 2 Anderson, Gary S. 1 Audzeyeva, Alena 1 BAUWENS, Luc 1 BRAIONE, Manuela 1 Bauwens, Luc 1 Braione, Manuela 1 Branco, Rafael R. 1 Ceci, Donato 1
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Institution
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School of Economics and Management, University of Aarhus 5 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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CREATES Research Papers 5 Econometric Institute Research Papers 4 CORE Discussion Papers 3 Econometric Institute Report 3 KIER Working Papers 3 NCER Working Paper Series 3 CIRANO Working Papers 2 Cahiers de recherche 2 Documentos de Trabajo del ICAE 2 NCER working paper series 2 Tinbergen Institute Discussion Papers 2 Working papers 2 "Marco Fanno" Working Papers 1 Applied Economics 1 BERG Working Paper Series 1 BERG working paper series 1 CORE discussion papers : DP 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 Economics Working Paper 1 Economics working paper 1 Empirical economics : a quarterly journal of the Institute for Advanced Studies 1 FEDS Working Paper 1 Finance and economics discussion series 1 Finance research letters 1 Financial innovation : FIN 1 IAB discussion paper : Beiträge zum wissenschaftlichen Dialog aus dem Institut für Arbeitsmarkt- und Berufsforschung 1 IAB-Discussion Paper 1 Journal of empirical finance 1 Munich Discussion Paper 1 Münchener Wirtschaftswissenschaftliche Beiträge : VWL ; discussion papers 1 School of Economics Discussion Papers 1 Temi di discussione / Banca d'Italia 1 Texto para Discussão 1 Texto para discussão / Instituto de Pesquisa Econômica Aplicada 1 Tinbergen Institute Discussion Paper 1 Working Paper 1
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Source
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RePEc 34 ECONIS (ZBW) 20 EconStor 9 BASE 1
Showing 1 - 10 of 64
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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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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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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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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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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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Can heterogeneous agent models explain the alleged mispricing of the S&P 500?
Lux, Thomas - 2020
Franke and Westerhoff (2012) is the only exception. Estimation of the model confidence set indicates that this model is not … of the model confidence set. …
Persistent link: https://www.econbiz.de/10012215456
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Previsão de homicídios no Brasil: Proposta de variável antecedente
Lins, Gabriel de Oliveira Accioly; Cerqueira, Daniel; … - 2020
window' scheme and 'Model Confidence Set' approach, we investigate whether multivariate models with leading variables show …
Persistent link: https://www.econbiz.de/10012616509
Saved in:
Cover Image
Can heterogeneous agent models explain the alleged mispricing of the S&P 500?
Lux, Thomas - 2020
Franke and Westerhoff (2012) is the only exception. Estimation of the model confidence set indicates that this model is not … of the model confidence set. …
Persistent link: https://www.econbiz.de/10012214509
Saved in:
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