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Benner, Niklas; Lange, Kai-Robin; Jentsch, Carsten - 2022

While the actions of economists and politicians can be influenced by facts, statistics or empirical predictions, narratives are becoming an increasingly important factor for the decision making in the field of economics and politics. Evaluating such narratives not at selective points in time but...

Persistent link: https://www.econbiz.de/10013359182

Prediction model averaging estimator

Xie, Tian - In: Economics letters 131 (2015), pp. 5-8

Persistent link: https://www.econbiz.de/10011422490

Mining big data using parsimonious factor and shrinkage methods

Kim, Hyun Hak; Swanson, Norman R. - 2013

A number of recent studies in the economics literature have focused on the usefulness of factor models in the context of prediction using "big data". In this paper, our over-arching question is whether such "big data" are useful for modelling low frequency macroeconomic variables such as...

Persistent link: https://www.econbiz.de/10009766687

Scaled PCA : a new approach to dimension reduction

Huang, Dashan; Jiang, Fuwei; Li, Kunpeng; Tong, Guoshi; … - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 1678-1695

Persistent link: https://www.econbiz.de/10013260016

Estimating the anomaly base rate

Chinco, Alex; Neuhierl, Andreas; Weber, Michael - In: Journal of financial economics 140 (2021) 1, pp. 101-126

Persistent link: https://www.econbiz.de/10013188625

Forecasting High-Frequency Volatility Shocks : An Analytical Real-Time Monitoring System

Kömm, Holger - 2016 - 1st ed. 2016

Integrated Volatility -- Zero-inflated Data Generation Processes -- Algorithmic Text Forecasting. …This thesis presents a new strategy that unites qualitative and quantitative mass data in form of text news and tick … information embedded in unexpected, but public observable text data in shock and nonshock information. The monitor is trained …