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The Stochastic Volatility in Mean Model
Koopman, Siem Jan; Uspensky, Eugenie Hol - 2000
In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...
Persistent link: https://www.econbiz.de/10010324578
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Forecasting using Random Subspace Methods
Boot, Tom; Nibbering, Didier - 2016
provide a theoretical justification of the use of random subspace methods and show their usefulness when forecasting monthly …
Persistent link: https://www.econbiz.de/10011586688
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Sparse and Robust Factor Modelling
Croux, Christophe; Exterkate, Peter - 2011
construction methods, we find that this procedure leads to better interpretable factors and to a favorable forecasting performance …
Persistent link: https://www.econbiz.de/10010326490
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Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices
Raviv, Eran; Bouwman, Kees E.; van Dijk, Dick - 2013
The daily average price of electricity represents the price of electricity to be delivered over the full next day and serves as a key reference price in the electricity market. It is an aggregate that equals the average of hourly prices for delivery during each of the 24 individual hours. This...
Persistent link: https://www.econbiz.de/10010326529
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Bayesian Risk Forecasting for Long Horizons
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019
We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …
Persistent link: https://www.econbiz.de/10012114771
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Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility
Hol, Eugenie; Koopman, Siem Jan - 2000
returns and intradaily squared returns for forecasting horizons rangingfrom 1 to 10 days. For the daily squared returns we …
Persistent link: https://www.econbiz.de/10010324427
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Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment
Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - 2006
This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …
Persistent link: https://www.econbiz.de/10010325309
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The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts
Huurman, Christian; Ravazzolo, Francesco; Zhou, Chen - 2007
wholesale power markets have only recently been deregulated. We introduce the weather factor into well-known forecasting models …
Persistent link: https://www.econbiz.de/10010325407
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Examining the Nelson-Siegel Class of Term Structure Models
Pooter, Michiel De - 2007
forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …
Persistent link: https://www.econbiz.de/10010325534
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Forecasting Aggregate Productivity using Information from Firm-Level Data
Bartelsman, Eric J.; Wolf, Zoltan - 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/10010325710