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Demand Forecasting Behavior: System Neglect and Change Detection
Kremer, Mirko; Moritz, Brent; Siemsen, Enno - In: Management Science 57 (2011) 10, pp. 1827-1843
that forecasting behavior systematically deviates from normative predictions: Forecasters overreact to forecast errors in …
Persistent link: https://www.econbiz.de/10010990449
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A Case-Based Model of Probability and Pricing Judgments: Biases in Buying and Selling Uncertainty
Brenner, Lyle A.; Griffin, Dale W.; Koehler, Derek J. - In: Management Science 58 (2012) 1, pp. 159-178
We integrate a case-based model of probability judgment with prospect theory to explore asset pricing under uncertainty. Research within the "heuristics and biases" tradition suggests that probability judgments respond primarily to case-specific evidence and disregard aggregate characteristics...
Persistent link: https://www.econbiz.de/10010990558
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Unspanned macroeconomic factors in the yield curve
Coroneo, Laura; Giannone, Domenico; Modugno, Michele - Federal Reserve Board (Board of Governors of the … - 2014
In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of...
Persistent link: https://www.econbiz.de/10010886225
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Asymmetric Realized Volatility Risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2014
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011272575
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Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice
Callot, Laurent; Kock, Anders B.; Medeiros, Marcelo C. - Tinbergen Instituut - 2014
In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector …
Persistent link: https://www.econbiz.de/10011256058
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Realized Volatility Risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2013
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011256164
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Forecasting Productivity Using Information from Firm-Level Data
Bartelsman, Eric J.; Wolf, Zoltán - Tinbergen Institute - 2009
explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …
Persistent link: https://www.econbiz.de/10005016264
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A Model for Predicting Frequencies of Random Events
Rosenfield, Donald - In: Management Science 33 (1987) 8, pp. 947-954
This paper presents a new technique for forecasting frequencies of events over time for individuals. The technique …
Persistent link: https://www.econbiz.de/10009208983
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Turnpike Horizons for Production Planning
Thompson, Gerald L.; Sethi, Suresh P. - In: Management Science 26 (1980) 3, pp. 229-241
A quadratic model for production-inventory planning was made famous by Holt, Modigliani, Muth, and Simon in 1960 in (Holt, C. C., F. Modigliani, J. F. Muth, H. A. Simon. 1960. Planning Production, Inventories, and Work Force. Prentice-Hall, Englewood Cliffs, New Jersey.), especially for its...
Persistent link: https://www.econbiz.de/10009209094
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A Recursive Kalman Filter Forecasting Approach
Kahl, Douglas R.; Ledolter, Johannes - In: Management Science 29 (1983) 11, pp. 1325-1333
This paper examines the forecasting accuracy and the cost effectiveness of time series models with time …-varying coefficients. A simulation study investigates the potential forecasting benefits of a proposed Kalman filter type adaptive … estimation and forecasting approach. It is found that: (1) When appropriate, the time-varying coefficient approach leads to …
Persistent link: https://www.econbiz.de/10009209300