"The paper introduces the model confidence set (MCS) and applies it to the selection of forecasting models. An MCS is a set of models that is constructed so that it will contain the "best" forecasting model, given a level of confidence. Thus, an MCS is analogous to a confidence interval for a...

This paper introduces the model confidence set (MCS) and applies it to the selection of models. An MCS is a set of models that is constructed so that it will contain the best model with a given level of confidence. The MCS is in this sense analogous to a confidence interval for a parameter. The...

We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement noise of certain types and can also handle non-synchronous trading. It is the first estimator...

We introduce an estimation method that applies to a class of multivariate regression problems. The method can estimate parameters that are subject to multiple reduced-rank conditions and other parameter restrictions and the method allows for a general specifications of the covariance matrix. We...