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This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of insights from the multiple testing literature. The method tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
Persistent link: https://www.econbiz.de/10010361374
Persistent link: https://www.econbiz.de/10003711763
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
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
-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …
Persistent link: https://www.econbiz.de/10012416151
This paper examines the main drawbacks of technical analysis. Although this is widely used by practitioners, from an academic perspective it can only be seen as a form of "voodoo finance". In particular, it runs into the following pitfalls: Subjectivity; Doubtful assumptions; Unjustified...
Persistent link: https://www.econbiz.de/10013489574
forecast error of one-step-ahead forecasts, both conditionally and unconditionally and present numerical results for different …
Persistent link: https://www.econbiz.de/10011508088
In this paper we specify a linear Cliff and Ord-type spatial model. The model allows for spatial lags in the dependent variable, the exogenous variables, and disturbances. The innovations in the disturbance process are assumed to be heteroskedastic with an unknown form. We formulate a multi-step...
Persistent link: https://www.econbiz.de/10003792846
are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for …
Persistent link: https://www.econbiz.de/10002734112
We present representative evidence of discrimination against migrants through an incentivized choice experiment with over 2,000 participants. Decision makers allocate a fixed endowment between two receivers. To measure discrimination, we randomly vary receivers’ migration background and other...
Persistent link: https://www.econbiz.de/10014533789