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Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2015

We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the … that the uncertainty of the average forecast can be expressed as the disagreement among the forecasters plus the volatility … the conceptually correct benchmark forecast uncertainty. …

Persistent link: https://www.econbiz.de/10011305389

Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2020

uncertainty of a combined forecast should be interpreted as that of a typical forecaster randomly drawn from the pool. With a … some previously used measures significantly underestimate the conceptually correct benchmark forecast uncertainty. …

Persistent link: https://www.econbiz.de/10012405456

The time-series relations among expected return, risk, and book-to-market

Lewellen, Jonathan - In: Journal of financial economics 54 (1999) 1, pp. 5-43

Persistent link: https://www.econbiz.de/10001407051

Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...

Persistent link: https://www.econbiz.de/10012158736

Reading the tea leaves : model uncertainty, robust forecasts, and the autocorrelation of analysts' forecast errors

Linnainmaa, Juhani; Torous, Walter N.; Yae, James - In: Journal of financial economics 122 (2016) 1, pp. 42-64

Persistent link: https://www.econbiz.de/10011590878

Forecasting tail risks : presented at CESifo Area Conference on Macro, Money and International Finance, February 2015

De Nicolò, Gianni; Lucchetta, Marcella - 2015

Reliable early warning signals are essential for timely implementation of macroeconomic and macro-prudential policies. This paper presents an early warning system as a set of multi-period forecasts of indicators of tail real and financial (systemic) risks. Forecasts are obtained from: (a)...

Persistent link: https://www.econbiz.de/10010498601