Peer-Reviewed Journal Details
Mandatory Fields
Cummins M, Dowling M, Esposito F.
2017
August
Finance Research Letters
Determining risk model confidence sets
Published
0 ()
Optional Fields
22
169
174
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 p-value. We also contrast the two MCS approaches empirically, constructing a market risk model selection exercise for the Dow Jones Industrial Average. Our adapted MCS method is shown to lead to a smaller MCS, nested within the MCS determined by the popular MCS method, and allows greater distinction between models. (C) 2017 Elsevier Inc. All rights reserved.
SAN DIEGO
1544-6123
10.1016/j.fr12017.02.005
Grant Details