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Quantifying time-varying forecast uncertainty and risk for the real price of oil

Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021

We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil …, estimation of time-varying forecast biases and facets of miscalibration of individual forecast densities and time-varying inter …-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach …

Persistent link: https://www.econbiz.de/10012545165

Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil

Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021

Persistent link: https://www.econbiz.de/10012795319

Forecasting stock returns under economic constraints

Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of financial economics 114 (2014) 3, pp. 517-553

Persistent link: https://www.econbiz.de/10010532691

Bayesian analysis of ARMA models

Kleibergen, Frank; Hoek, Henk - 2000

Root cancellation in Auto Regressive Moving Average (ARMA) models leads tolocal non-identification of parameters. When we use diffuse or normal priorson the parameters of the ARMA model, posteriors in Bayesian analyzes show ana posteriori favor for this local non-identification. We show that the...

Persistent link: https://www.econbiz.de/10011303311

Empirical Bayes methods for dynamic factor models

Koopman, Siem Jan; Mesters, Geert - 2014

We consider the dynamic factor model where the loading matrix, the dynamic factors and the disturbances are treated as latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the loadings and the factors. We show that our estimates...

Persistent link: https://www.econbiz.de/10010357912