MSC

MaRDI QIDQ28130swMATHFDO

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

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

Cited in

(10)

• Modeling returns volatility: realized GARCH incorporating realized risk measure
• Comparison of value-at-risk models using the MCS approach
• MCS
• DySco
• MCS
• MSGARCH
• npreg
• dcmle
• Data cloning estimation for asymmetric stochastic volatility models
• A change-point approach for the identification of financial extreme regimes

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