model-confidence-set

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bashtage / arch

ARCH models in Python

bootstrap finance spa time-series arch risk forecasting variance adf volatility multiple-comparison-procedures financial-econometrics unit-root dickey-fuller phillips-perron df-gls reality-check model-confidence-set

Updated May 31, 2023
Python

This repository includes the scripts to replicate the results of my WORKING paper entitled "A False Discovery Rate Approach to Optimal Volatility Forecasting Model Selection". Access the article here https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3737477

finance buckets econometrics false-discovery-rate model-confidence-set exchange-traded-funds volatility-modeling familywise-error-rate data-snooping-test

Updated Nov 21, 2022
MATLAB

Heming0425 / Model_Confidence_Bound

Star

The MCB for variable selection identifies two nested models (upper and lower confidence bound models) containing the true model at a given confidence level.

package r cv variable-selection glmnet ruc model-confidence-set model-confidence-bound

Updated Aug 29, 2020
R

ogrnz / feval

Star

Easily evaluate your forecasts with (multivariate) Diebold-Mariano and (multivariate) Giacomini-White tests of equal predictive ability and MCS.

time-series model-confidence-set forecast-evaluation diebold-mariano giacomini-white multivariate-forecast-evaluation

Updated Jan 14, 2023
Python

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