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1
Diffusion Indexes with Sparse Loadings
Kristensen, Johannes Tang
-
School of Economics and Management, University of Aarhus
-
2013
The use of large-dimensional factor models in
forecasting
has received much attention in the literature with the … model which is better suited for
forecasting
compared to the traditional principal components (PC) approach.We provide an … asymptotic analysis of the estimator and illustrate its merits empirically in a
forecasting
experiment based on US macroeconomic …
Persistent link: https://www.econbiz.de/10010851192
Saved in:
2
Oracle Efficient Estimation and
Forecasting
with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions
Kock, Anders Bredahl
;
Callot, Laurent A.F.
-
School of Economics and Management, University of Aarhus
-
2012
variable selection and estimation in one step. We evaluate the
forecasting
accuracy of these estimators for a large set of …
Persistent link: https://www.econbiz.de/10010851261
Saved in:
3
Nonlinear
Forecasting
With Many Predictors Using Kernel Ridge Regression
Exterkate, Peter
;
Groenen, Patrick J.F.
;
Heij, Christiaan
; …
-
School of Economics and Management, University of Aarhus
-
2013
This paper puts forward kernel ridge regression as an approach for
forecasting
with many predictors that are related … overfitting. We extend the kernel ridge regression methodology to enable its use for economic time-series
forecasting
, by …
Persistent link: https://www.econbiz.de/10010851287
Saved in:
4
Housing price forecastability: A factor analysis
Bork, Lasse
;
Møller, Stig V.
-
School of Economics and Management, University of Aarhus
-
2012
-sample
forecasting
regressions. The predictive power of the model stays high at longer horizons. The estimated factors are strongly …
Persistent link: https://www.econbiz.de/10010851257
Saved in:
5
Factor-Based
Forecasting
in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?
Kristensen, Johannes Tang
-
School of Economics and Management, University of Aarhus
-
2012
Macroeconomic
forecasting
using factor models estimated by principal components has become a popular research topic … simply screen datasets prior to estimation and remove anomalous observations.We investigate whether
forecasting
performance … Carlo simulation studies. Finally, we apply our proposed estimator in a simulated real-time
forecasting
exercise to test its …
Persistent link: https://www.econbiz.de/10010851270
Saved in:
6
Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions
Bollerslev, Tim
;
Patton, Andrew J.
;
Wang, Wenjing
-
School of Economics and Management, University of Aarhus
-
2015
We construct daily house price indices for ten major U.S. metropolitan areas. Our calculations are based on a comprehensive database of several million residential property transactions and a standard repeat-sales method that closely mimics the methodology of the popular monthly Case-Shiller...
Persistent link: https://www.econbiz.de/10011118617
Saved in:
7
Forecasting
Long Memory Series Subject to Structural Change: A Two-Stage Approach
Dias, Gustavo Fruet
;
Papailias, Fotis
-
School of Economics and Management, University of Aarhus
-
2014
A two-stage
forecasting
approach for long memory time series is introduced. In the first step we estimate the … and yields good
forecasting
results. …
Persistent link: https://www.econbiz.de/10011099291
Saved in:
8
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options
Rombouts, Jeroen V.K.
;
Stentoft, Lars
;
Violante, Francesco
-
School of Economics and Management, University of Aarhus
-
2012
We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differ in their...
Persistent link: https://www.econbiz.de/10009492823
Saved in:
9
The Model Confidence Set
Hansen, Peter R.
;
Lunde, Asger
;
Nason, James M.
-
School of Economics and Management, University of Aarhus
-
2010
forecasting
problem posed by Stock and Watson (1999), and compute the MCS for their set of inflation forecasts. Second, we compare …
Persistent link: https://www.econbiz.de/10008784441
Saved in:
10
Combining Long Memory and Level Shifts in Modeling and
Forecasting
the Volatility of Asset Returns
Varneskov, Rasmus Tangsgaard
;
Perron, Pierre
-
School of Economics and Management, University of Aarhus
-
2011
We propose a parametric state space model with accompanying estimation and
forecasting
framework that combines long … process, the model consistently belongs to the 10% Model Confidence Set when considering out-of-sample
forecasting
performance … as the only one among four competing dynamic models for all
forecasting
horizons when applied to high frequency stock …
Persistent link: https://www.econbiz.de/10009150791
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