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Forecast-error-based estimation of forecast uncertainty when the horizon is increased
Knüppel, Malte - 2014
(2014) in order to relax the condition on the data structure required for the SUR estimator to be independent from unknown … quantities. It turns out that the SUR estimator of forecast uncertainty tends to deliver large efficiency gains compared to the … OLS estimator (i.e. the sample mean of the squared forecast errors) in the case of increased forecast horizons. The SUR …
Persistent link: https://www.econbiz.de/10010465566
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Forecast-error-based estimation of forecast uncertainty when the horizon is increased
Knüppel, Malte - In: International journal of forecasting 34 (2018) 1, pp. 105-116
Persistent link: https://www.econbiz.de/10012030847
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SVARs identification through bounds on the forecast error variance
Volpicella, Alessio - 2019
Sign-restricted Structural Vector Autoregressions (SVARs) are increasingly common. However, they usually result in a set of structural parameters that have very different implications in terms of impulse responses, elasticities, historical decomposition and forecast error variance decomposition...
Persistent link: https://www.econbiz.de/10012037315
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Forecasting Land Use from Estimated Markov Transitions
Savage, Timothy - 2011
The use of Markov processes (or Markov chains) has become widespread in dynamic stochastic modeling. For example, its use is ubiquitous in macroeconomics (dynamic stochastic general equilibrium), finance (dynamic asset pricing), and areas of microeconomics (dynamic programming). As we discuss...
Persistent link: https://www.econbiz.de/10013123710
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Supplement To 'Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets'
Fruet Dias, Gustavo - 2017
The online Supplement presents the proof the auxiliary Lemmas 1-6, the entire set of tables with results from the Monte Carlo and the empirical studies, and further discussion on selected topics.Full paper is available at: 'https://ssrn.com/abstract=2707176' https://ssrn.com/abstract=2707176
Persistent link: https://www.econbiz.de/10012968328
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Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets
Fruet Dias, Gustavo - 2017
We address the issue of modelling and forecasting macroeconomic variables using rich datasets by adopting the class of Vector Autoregressive Moving Average (VARMA) models. We overcome the estimation issue that arises with this class of models by implementing an iterative ordinary least squares...
Persistent link: https://www.econbiz.de/10012970411
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Multivariate Overnight GARCH-Ito Model with Applications in Large Volatility Matrix Estimation and Prediction
Kim, Donggyu; Oh, Minseog; Song, Xinyu; Wang, Yazhen - 2022
This paper introduces a unified multivariate overnight GARCH-Ito model for volatility matrix estimation and prediction both in the low- and high-dimensional set-up. To account for whole-day market dynamics in the financial market, the proposed model has two different instantaneous volatility...
Persistent link: https://www.econbiz.de/10013290653
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The divergence of the high and low frequency estimation : causes and consequences
Kinlaw, William; Kritzman, Mark; Turkington, David - 2014 - This version: May 2, 2014
Financial analysts typically estimate volatilities and correlations from monthly or higher frequency returns when determining the optimal composition of a portfolio. Although it is widely acknowledged that these measures are not necessarily stationary across samples, most analysts assume...
Persistent link: https://www.econbiz.de/10010353307
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The divergence of high- and low-frequency estimation : implications for performance measurement
Kinlaw, William; Kritzman, Mark; Turkington, David - 2014 - This version: July 24, 2014
The Sharpe ratio is the most widely used metric for comparing performance across investment managers and strategies, and the information ratio is as commonly used to evaluate performance relative to a benchmark. Although it is widely recognized that non-linearities arising from the inclusion of...
Persistent link: https://www.econbiz.de/10010387204
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Forecasting inflation in Argentina
Garegnani, María Lorena; Gómez Aguirre, Maximiliano - 2018
In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models...
Persistent link: https://www.econbiz.de/10011882797