Hansen, Peter Reinhard; Lunde, Asger; Nason, James M. - In: Oxford Bulletin of Economics and Statistics 65 (2003) s1, pp. 839-861
This paper applies the model confidence set (MCS) procedure of <link rid="b20">Hansen, Lunde and Nason (2003)</link><link rid="q1" /> to a set of volatility models. An MCS is analogous to the confidence interval of a parameter in the sense that it contains the best forecasting model with a certain probability. The key to the MCS is...
