Showing 1 - 10 of 623
Persistent link: https://www.econbiz.de/10011317461
We propose a near optimal test for structural breaks of unknown timing when the purpose of the analysis is to obtain accurate forecasts under square error loss. A bias-variance trade-off exists under square forecast error loss, which implies that small structural breaks should be ignored. We...
Persistent link: https://www.econbiz.de/10011636475
When comparing predictive distributions, forecasters are typically not equally interested in all regions of the outcome space. To address the demand for focused forecast evaluation, we propose a procedure to transform strictly proper scoring rules into their localized counterparts while...
Persistent link: https://www.econbiz.de/10014450615
In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong theoretical performance guarantees on the forecast...
Persistent link: https://www.econbiz.de/10010433899
I refine the test for clustering of Patton and Weller (2022) to allow for cluster switching. In a multivariate panel setting, clustering on timeaverages produces consistent estimators of means and group assignments. Once switching is introduced, we lose the consistency. In fact, under switching...
Persistent link: https://www.econbiz.de/10015053931
In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...
Persistent link: https://www.econbiz.de/10011431354
implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a …
Persistent link: https://www.econbiz.de/10010259626
Persistent link: https://www.econbiz.de/10001689451
A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...
Persistent link: https://www.econbiz.de/10011327543
Persistent link: https://www.econbiz.de/10001594646