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Penalized adaptive method in forecasting with large information set and structure change
Li, Xinjue; Zbonakova, Lenka; Härdle, Wolfgang - 2017
In the present paper we propose a new method, the Penalized Adaptive Method (PAM), for a data driven detection of structure changes in sparse linear models. The method is able to allocate the longest homogeneous intervals over the data sample and simultaneously choose the most proper variables...
Persistent link: https://www.econbiz.de/10011714497
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Chapter 9 Approximate Nonlinear Forecasting Methods
White, Halbert - 2006
We review key aspects of forecasting using nonlinear models. Because economic models are typically misspecified, the resulting forecasts provide only an approximation to the best possible forecast. Although it is in principle possible to obtain superior approximations to the optimal forecast...
Persistent link: https://www.econbiz.de/10014023697
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Disagreement in Economic Forecasts and Equity Returns : Risk or Mispricing?
Bali, Turan G. - 2020
We quantify disagreement about the economy with ex-ante measures of divergence of opinion among economic forecasters and investigate if economic disagreement has a significant impact on the cross-sectional pricing of individual stocks. We find a significant disagreement premium of 7.2% per...
Persistent link: https://www.econbiz.de/10012856755
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Forecasting Euro area real GDP : optimal pooling of information
Hülsewig, Oliver (contributor); Mayr, Johannes (contributor) - 2008
information approach outperforms alternative forecasting methods in terms of forecast accuracy. -- Forecasting ; aggregation …
Persistent link: https://www.econbiz.de/10003749431
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Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015
We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a … based on asset class, or into a single portfolio. We compare the impact of aggregation to that of choosing a model for the … that the degree of temporal aggregation is most important. Daily returns form the best basis for VaR forecasts. Modelling …
Persistent link: https://www.econbiz.de/10011431503
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Two reasons to make aggregated probability forecasts more extreme
Baron, Jonathan; Mellers, Barbara A.; Tetlock, Philip E.; … - In: Decision analysis : a journal of the Institute for … 11 (2014) 2, pp. 133-145
Persistent link: https://www.econbiz.de/10010382759
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Aggregation of experts opinions and the assessment of tipping points : catastrophic forecasts for higher temperature changes
Basili, Marcello; Crudu, Federico - 2021
Persistent link: https://www.econbiz.de/10013166311
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Hidden experts in the crowd : using meta-predictions to leverage expertise in single-question prediction problems
Wilkening, Tom; Martinie, Marcellin; Howe, Piers D. L. - In: Management science : journal of the Institute for … 68 (2022) 1, pp. 487-508
Persistent link: https://www.econbiz.de/10012821209
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Demand forecasting in supply chains : a review of aggregation and hierarchical approaches
Babai, M. Zied; Boylan, John E.; Rostami-Tabar, Bahman - In: International journal of production research 60 (2022) 1, pp. 324-348
Persistent link: https://www.econbiz.de/10012873142
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When 2 + 2 should be 5 : the summation fallacy in time prediction
Halkjelsvik, Torleif; Jørgensen, Magne - In: Journal of behavioral decision making 35 (2022) 3, pp. 1-13
Persistent link: https://www.econbiz.de/10013279757