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Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?
Mol, Christine de (contributor);  … - 2006
This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range...
Persistent link: https://www.econbiz.de/10003380561
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be … used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts … estimate daily the diffusion process of the underlying futures contract for foreign exchange, based on the price of the …
Persistent link: https://www.econbiz.de/10011431367