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This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...
Persistent link: https://www.econbiz.de/10012258549
extensive simulation study and out-of-sample prediction exercise and find large improvements both in model selection and … prediction compared to alternative selection methods. Our proposed method has higher out-of-sample Sharpe ratios and explanatory …
Persistent link: https://www.econbiz.de/10011888693
We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10011619632
Although oil price shocks have long been viewed as one of the leading candidates for explaining U.S. recessions, surprisingly little is known about the extent to which oil price shocks explain recessions. We provide a formal analysis of this question with special attention to the possible role...
Persistent link: https://www.econbiz.de/10011421672
factors also contribute to a higher risk of long-term unemployment. Surprisingly, workers from the construction sector do not …
Persistent link: https://www.econbiz.de/10011602757
We analyse firms' sourcing decisions under institutional uncertainty in foreign countries. Firms can reduce their uncertainty by observing offshoring firms' behaviour. The model characterises a sequential offshoring equilibrium path, led by the most productive firms in the market. With multiple...
Persistent link: https://www.econbiz.de/10013419347
classification of Dutch manufacturing that can be used for policy purposes. We use a twolimit tobit model with sample selection … innovative sales. The model is estimated for eleven industries based on the Dutch Standard Industrial Classification (SBI 1993 …
Persistent link: https://www.econbiz.de/10011449855
find a quarter of students violated the order. Yet, neither risk preference, altruism, nor preexisting health conditions …
Persistent link: https://www.econbiz.de/10012213128
We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk … for the price of risk. We also document that the survey expectations-augmented specification reduces pricing and premium …
Persistent link: https://www.econbiz.de/10014388605
making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …
Persistent link: https://www.econbiz.de/10003965868