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Bootstrapping the information matrix test

Stomberg, Christopher; White, Halbert - 2000

Persistent link: https://www.econbiz.de/10001500671

A reality check for data snooping

White, Halbert - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 5, pp. 1097-1126

Persistent link: https://www.econbiz.de/10001510571

Testing the parametric form of the volatility in continuous time diffusion models : an empirical process approach

Dette, Holger (contributor); Podolskij, Mark (contributor) - 2005

Persistent link: https://www.econbiz.de/10003354240

The model confidence set

Hansen, Peter Reinhard; Lunde, Asger; Nason, James Michael - 2010

Persistent link: https://www.econbiz.de/10008780026

Determining risk model confidence sets

Cummins, Mark; Dowling, Michael; Esposito, Francesco - In: Finance research letters 22 (2017), pp. 169-174

Persistent link: https://www.econbiz.de/10011808131

The model confidence set

Hansen, Peter Reinhard; Lunde, Asger; Nason, James Michael - In: Econometrica : journal of the Econometric Society, an … 79 (2011) 2, pp. 453-497

Persistent link: https://www.econbiz.de/10009124290

Exploiting resampling techniques for model selection in forecasting : an empirical evaluation using out-of-sample tests

Sarris, Dimitrios; Spiliotis, Evangelos; Assimakopoulos, V. - In: Operational research : an international journal 20 (2020) 2, pp. 701-721

Persistent link: https://www.econbiz.de/10012214658

Determining Risk Model Confidence Sets

Cummins, Mark - 2017

Two alternative approaches to identifying a model confidence set (MCS) are contrasted. Together with a specification of the established MCS test, we present a new version of a test that identifies a model set satisfying the MCS requirements and is characterised by an alternative model ranking...

Persistent link: https://www.econbiz.de/10012963416

Testing the parametric form of the volatility in continuous time diffusion models : a stochastic process approach

Dette, Holger; Podolskij, Mark - In: Journal of econometrics 143 (2008) 1, pp. 56-73

Persistent link: https://www.econbiz.de/10003722591

Joint and marginal specification tests for conditional mean and variance models

Escanciano, J. Carlos - In: Journal of econometrics 143 (2008) 1, pp. 74-87

Persistent link: https://www.econbiz.de/10003722592