Concepedia

Model Confidence Set

A Model Confidence Set is a statistical procedure that identifies a subset of competing forecast models, ranked within a broader model space, which with a specified level of confidence contains the true data-generating model according to a defined loss criterion.

80

Publications

5.8K

Citations

162

Authors

109

Institutions

Publications per year

2017–2026

38

Parents

Publications

80

The Model Confidence Set

Econometrica · 2011 · 2K citations

, , +17

Some Impossibility Theorems in Econometrics With Applications to Structural and Dynamic Models

Jean‐Marie Dufour · Econometrica · 1997 · 580 citations

, , +16

Ambiguity in portfolio selection

Georg Ch. Pflug, David Wozabal · Quantitative Finance · 2007 · 268 citations

, , +17

Uniform Inference in Autoregressive Models

Anna Mikusheva · Econometrica · 2007 · 203 citations

, , +16

Modelling volatility of cryptocurrencies using Markov-Switching GARCH models

Guglielmo Maria Caporale, Timur Zekokh · Research in International Business and Finance · 2018 · 195 citations · Full text

, , +17

1–5 of 80

Authors

162

  1. LC
    Leopoldo Catania

    Aarhus University, Denmark

    4 publications · 155 citations

    4

    h-index

  2. MB
    Mauro Bernardi

    University of Padua, Italy

    4 publications · 155 citations

    4

    h-index

  3. TC
    Taufiq Choudhry

    University of Southampton, United Kingdom

    2 publications · 37 citations

    2

    h-index

  4. BS
    Boriss Siliverstovs

    German Institute for Economic Research, Germany

    2 publications · 85 citations

    2

    h-index

  5. DR
    David R. Thomas

    Carleton University, Canada

    2 publications · 39 citations

    2

    h-index

1–5 of 162

Institutions

109

  1. University of Padua

    Padua, Italy

    4 h-index

    4 publications

    155 citations

  2. University of Southampton

    Southampton, United Kingdom

    3 h-index

    3 publications

    48 citations

  3. University of Rome Tor Vergata

    Rome, Italy

    3 h-index

    3 publications

    117 citations

  4. Aarhus University

    Aarhus, Denmark

    3 h-index

    4 publications

    156 citations

  5. University of Vienna

    Vienna, Austria

    3 h-index

    5 publications

    588 citations

  6. Lancaster University

    Lancaster, United Kingdom

    3 h-index

    5 publications

    73 citations

  7. Oregon State University

    Corvallis, United States

    2 h-index

    2 publications

    39 citations

  8. University of Liverpool

    Liverpool, United Kingdom

    2 h-index

    3 publications

    40 citations

1–8 of 109

Venues

  1. Journal of Forecasting

    9 publications · 466 citations

    9

    h-index

  2. The Annals of Statistics

    5 publications · 105 citations

    5

    h-index

  3. SSRN Electronic Journal

    Repository · 4 publications · 168 citations

    4

    h-index

  4. 3

    h-index

  5. Econometrica

    3 publications · 2.8K citations

    3

    h-index

1–5