Pre-computed rejection counts replicating Table_UV_CSPA.xlsx from the Li, Liao and Quaedvlieg (2022) replication package. For each of 28 stocks, pairwise conditional superior predictive ability (CSPA) tests are run for every benchmark-competitor pair across six realized-variance forecasting models; cell \((k, l)\) counts the number of stocks for which the null “benchmark \(l\) conditionally dominates alternative \(k\)” is rejected at the 5% level. Conditioning variable is one-day-lagged VIX; loss is QLIKE.
Format
A list with the following components:
- mine
\(6 \times 6\) integer matrix of rejection counts produced by
forecastdom::cspa_testwithR = 10000bootstrap reps and AIC pre-whitening, matching the call signature inEmpirics_Volatility.ox.- paper
\(6 \times 6\) integer matrix from
Table_UV_CSPA.xlsxin the LLQ replication package.- losses
\(28 \times 6\) matrix of mean QLIKE loss per stock and model.
- tickers
Character vector of the 28 tickers used.
- models
Character vector of the six model names.
- level
Significance level used (0.05).
- R
Number of bootstrap replications used.
Source
Computed by data-raw/llq2022_uv_cspa.R from the
replication package of Li, Liao and Quaedvlieg (2022),
https://zenodo.org/record/4884813.