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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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Efficient estimation of forecast uncertainty based on recent forecast errors
Knüppel, Malte - In: International journal of forecasting 30 (2014) 2, pp. 257-267
Persistent link: https://www.econbiz.de/10010510940
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Efficient Estimation of Forecast Uncertainty Based on Recent Forecast Errors
Knüppel, Malte - 2016
Multi-step-ahead forecasts of forecast uncertainty in practice are often based on the horizon-specific sample means of recent squared forecast errors, where the number of available past forecast errors decreases one-to-one with the forecast horizon. In this paper, the efficiency gains from the...
Persistent link: https://www.econbiz.de/10012991108
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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
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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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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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Consistent Inference for Predictive Regressions in Persistent Economic Systems
Andersen, Torben G. - 2019
This paper studies standard predictive regressions in economic systems governed by persistent vector autoregressive dynamics for the state variables. In particular, all - or a subset - of the variables may be fractionally integrated, which induces a spurious regression problem. We propose a new...
Persistent link: https://www.econbiz.de/10012889937
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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