Determining risk model confidence sets

被引：2

作者：

Cummins, Mark ^{[1
]}

Dowling, Michael ^{[2
]}

Esposito, Francesco ^{[1
]}

机构：

[1] Dublin City Univ, DCU Business Sch, Dublin, Ireland

[2] Rennes Sch Business, Rennes, France

来源：

FINANCE RESEARCH LETTERS | 2017年 / 22卷

关键词：

Model confidence set; Model selection; Market risk models;

D O I：

10.1016/j.frl.2017.02.005

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页码：169 / 174

页数：6