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Forecasting the returns of cryptocurrency : a model averaging approach
Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 13 (2020) 11/278, pp. 1-15
estimators to explain the cryptocurrencies´ returns. We further introduce a novel model averaging approach or the shrinkage …
Persistent link: https://www.econbiz.de/10012388749
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On tuning parameter selection in model selection and model averaging : a Monte Carlo study
Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 12 (2019) 3/109, pp. 1-16
to supplement the literature by studying the class of OLS post-selection estimators. Inspired by the shrinkage averaging … estimator (SAE) and the Mallows model averaging (MMA) estimator, we further propose a shrinkage MMA (SMMA) estimator for …
Persistent link: https://www.econbiz.de/10012025275
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On the aggregation of probability assessments : regularized mixtures of predictive densities for Eurozone inflation and real interest rates
Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - In: Journal of econometrics 237 (2023) 2,3, pp. 1-25
Persistent link: https://www.econbiz.de/10014471814
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Bayesian rank selection in multivariate regression
Jiang, Bin; Panagiotelis, Anastasios; Athanasopoulos, George - 2016
Persistent link: https://www.econbiz.de/10011781655
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The case for Divisia monetary statistics : a Bayesian time-varying approach
Ellington, Michael - In: Journal of economic dynamics & control 96 (2018), pp. 26-41
Persistent link: https://www.econbiz.de/10012004934
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Out-of-sample forecasting of foreign exchange rates : the band spectral regression and LASSO
Wada, Tatsuma - In: Journal of international money and finance 128 (2022), pp. 1-24
Persistent link: https://www.econbiz.de/10013438380
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Variable selection in international diffusion models
Gelper, Sarah; Stremersch, Stefan - In: International journal of research in marketing : IJRM ; … 31 (2014) 4, pp. 356-367
Persistent link: https://www.econbiz.de/10011280172
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Empirical Bayesian density forecasting in Iowa and shrinkage for the Monte Carlo era
Lewis, Kurt F.; Whiteman, Charles H. - In: Journal of forecasting 34 (2015) 1, pp. 15-35
Persistent link: https://www.econbiz.de/10011305372
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Empirical Bayes methods for dynamic factor models
Koopman, Siem Jan; Mesters, Geert - 2014
latent stochastic processes. We present empirical Bayes methods that enable the efficient shrinkage-based estimation of the …
Persistent link: https://www.econbiz.de/10010357912
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Data-based priors for vector autoregressions with drifting coefficients
Korobilis, Dimitris - 2014
Persistent link: https://www.econbiz.de/10010346569