MCS

MaRDI QIDQ33066swMATHCRANFDO

Authors Leopoldo Catania

Last update 19 October 2026

Copyright license GNU General Public License, version 2.0

Software version identifier 0.1.3, 0.1.0, 0.1.1, 0.1.2, PACKAGES.rds, 0.2.0, PACKAGES.rds, 0.2.1

Official website https://cran.r-project.org/web/packages/MCS/index.html

Source code repository https://github.com/cran/MCS

Description

Implements the Model Confidence Set procedure of Hansen, Lunde and Nason (2011) <doi:10.3982/ECTA5771> using bootstrap tests of equal predictive ability. Includes loss functions for level, volatility and quantile forecasts.

Cites work

• The Model Confidence Set

Cited in

(33)

• dcmle
• npreg
• The Model Confidence Set
• A change-point approach for the identification of financial extreme regimes
• The effects of conventional and unconventional monetary policy on forecasting the yield curve
• Forecasting volatility returns of oil price using gene expression programming approach.
• AS 154
• Multi-population mortality modeling: when the data is too much and not enough
• Conditional asymmetry in power ARCH() models
• MSC
• syuzhet
• FreSpeD
• RcppParallel
• lgarch
• MSGARCH
• MCSprocedure
• openNLP
• stm
• quanteda
• sentimentr
• sentometrics
• qdap
• Volatility forecasting of strategically linked commodity ETFs: gold-silver
• How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns
• How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns
• Evaluation of volatility predictions in a VaR framework
• TREE-BASED MACHINE LEARNING METHODS FOR MODELING AND FORECASTING MORTALITY
• A robust functional time series forecasting method
• RcppRoll
• Data cloning estimation for asymmetric stochastic volatility models
• EEML
• Option implied moments obtained through fuzzy regression
• OptiSembleForecasting

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