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

共 50 条

[41] CONFIDENCE SETS FOR PERSISTENCE DIAGRAMS
Fasy, Brittany Terese
Lecci, Fabrizio
Rinaldo, Alessandro
Wasserman, Larry
Balakrishnan, Sivaraman
Singh, Aarti
ANNALS OF STATISTICS, 2014, 42 (06): : 2301 - 2339
[42] DETERMINING SETS AND KOROVKIN SETS ON CIRCLE
RUSK, MD
JOURNAL OF APPROXIMATION THEORY, 1977, 20 (03) : 278 - 283
[43] Base size sets and determining sets
Laison, Joshua D.
McNicholas, Erin M.
Seaders, Nicole S.
DISCRETE MATHEMATICS, 2019, 342 (11) : 2994 - 2999
[44] Edge Determining Sets and Determining Index
McAvoy, Sean
Cockburn, Sally
arXiv, 2022,
[45] Determining confidence: sex and statistics
Derting, TL
Ebert-May, D
Hodder, J
Weber, EP
FRONTIERS IN ECOLOGY AND THE ENVIRONMENT, 2005, 3 (06) : 338 - 339
[46] Determining and Selecting the Optimal Sets of Risk Treatments under Project Constraints
Kwan, Tak Wah
Cheung, Bryan
2012 19TH ASIA-PACIFIC SOFTWARE ENGINEERING CONFERENCE (APSEC), VOL 1, 2012, : 346 - 349
[47] DETERMINING THE CONFIDENCE LEVEL FOR A CLASSIFICATION
THOMAS, IL
ALLCOCK, GM
PHOTOGRAMMETRIC ENGINEERING AND REMOTE SENSING, 1984, 50 (10): : 1491 - 1496
[48] IMPROVED CONFIDENCE SETS FOR THE COEFFICIENTS OF A LINEAR-MODEL WITH SPHERICALLY SYMMETRICAL ERRORS
HWANG, JT
CHEN, J
ANNALS OF STATISTICS, 1986, 14 (02): : 444 - 460
[49] Generalized Bayes confidence estimators for Fieller's confidence sets
Tsao, CA
Hwang, JTG
STATISTICA SINICA, 1999, 9 (03) : 795 - 810
[50] Model confidence sets and forecast combination: an application to age-specific mortality
Shang H.L.
Haberman S.
Genus, 74 (1)

← 1 2 3 4 5 →