Showing 1 - 10 of 7,978
We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/√T. This local embedding makes...
Persistent link: https://www.econbiz.de/10012461943
We provide maximum likelihood estimators of term structures of conditional probabilities of bankruptcy over relatively long time horizons, incorporating the dynamics of firm-specific and macroeconomic covariates. We find evidence in the U.S. industrial machinery and instruments sector, based on...
Persistent link: https://www.econbiz.de/10012467947
) optimal in Robbins' (1955, 1964) sense; (ii) the minimum risk equivariant estimator; and (iii) minimax in both the frequentist … and Bayesian problems over a class of nonGaussian error distributions. Also, the asymptotic frequentist risk of the … minimum risk equivariant estimator is shown to equal the Bayes risk of the (infeasible subjectivist) Bayes estimator in the …
Persistent link: https://www.econbiz.de/10012470584
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...
Persistent link: https://www.econbiz.de/10012472795
Exchange rate forecasts are generated using some popular monetary models of exchange rates in conjunction with several estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following requirements: the forecast and the actual series...
Persistent link: https://www.econbiz.de/10012472881
Using research designs patterned after randomized experiments, many recent economic studies examine outcome measures for treatment groups and comparison groups that are not randomly assigned. By using variation in explanatory variables generated by changes in state laws, government draft...
Persistent link: https://www.econbiz.de/10012473994
series relations and to ascertain whether various adaptive forecasting techniques successfully handle any such instability … representative U.S. monthly postwar macroeconomic time series, constituting 5700 bivariate forecasting relations. The tests indicate … widespread instability in univariate and bivariate autoregressive models. However, adaptive forecasting models, in particular …
Persistent link: https://www.econbiz.de/10012474068
We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and …
Persistent link: https://www.econbiz.de/10012474328
medium and long term forecasting. In this paper, we develop conditions under which a misspecified ARCH model successfully … performs both tasks, filtering and forecasting. The key requirement (in addition to the conditions for consistent filtering) is …
Persistent link: https://www.econbiz.de/10012474743
history of the asset in question. A hypothetical insurance market is set up, where competing forecasting algorithms are used …. One algorithm is used by each hypothetical agent in an "ex post ante" forecasting exercise, using the available history of … forecasting algorithms …
Persistent link: https://www.econbiz.de/10012475683