Narrow search
Showing 1 - 10 of 793
Cover Image
Using Sentiment Surveys to Predict GDP Growth and Stock Returns
Guzman, Giselle - 2012
This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...
Persistent link: https://www.econbiz.de/10013110732
Cover Image
Matrix Box-Cox models for multivariate realized volatility
Weigand, Roland - 2014
covariance matrix eigenvalues, while for the Box-Cox dynamic correlation (BC-DC) specification the variances are transformed …
Persistent link: https://www.econbiz.de/10010344500
Cover Image
Event Prediction Technique Based on Correlation Mapping and Fourier Decomposition
Lande, Dmitry; Shchutsky, V.; Shnurko-Tabakova, Ellina; … - 2023
The method of predicting events based on correlation mapping and Fourier decomposition of relevant time series, which …
Persistent link: https://www.econbiz.de/10014260305
Cover Image
Bootstrapping the Chain-Ladder Method for Correlated Run-Off-Triangles for Achieving the Predictive Distribution of the Claims Development Result
Heberle, Jochen - 2016
In this paper we show how to quantify the uncertainty in the difference between the best estimate for the ultimate claim viewed at the beginning and at the end of one year. A second aspect in this paper is how bootstrapping techniques can be used to simulate these uncertainty for several...
Persistent link: https://www.econbiz.de/10013008118
Cover Image
Predicting the Claims-Development-Result in the Chain-Ladder Method for Correlated Run-Off Portfolios
Heberle, Jochen - 2012
In the present paper we analyse how the estimators from Merz u. Wüthrich (2007) could be generalised to the case of N correlated run-off triangles. The simultaneous view on N correlated subportfolios is motivated by the fact, that in practice a run-off portfolio often has to be divided in...
Persistent link: https://www.econbiz.de/10013106624
Cover Image
Asymptotic variance of Brier (skill) score in the presence of serial correlation
Lahiri, Kajal; Yang, Liu - 2015
applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance … of taking care of serial correlation. We find that the conventional variances are too conservative to account for the …
Persistent link: https://www.econbiz.de/10010503468
Cover Image
A random forest-based approach to identifying the most informative seasonality tests
Ollech, Daniel; Webel, Karsten - 2020
Virtually each seasonal adjustment software includes an ensemble of seasonality tests for assessing whether a given time series is in fact a candidate for seasonal adjustment. However, such tests are certain to produce either the same resultor conflicting results, raising the question if there...
Persistent link: https://www.econbiz.de/10012301212
Cover Image
Forecasting risk measures based on structural breaks in the correlation matrix
Duan, Fang - 2022
Correlation models, such as Constant Conditional Correlation (CCC) GARCH model or Dynamic Conditional Correlation (DCC … constant correlation tests into correlation models has been proven to be helpful in terms of the improvement of the accuracy of … VaR or ES forecasts. Galeano & Wied (2017) suggested an algorithms for detecting structural breaks in the correlation …
Persistent link: https://www.econbiz.de/10013171617
Cover Image
Empirical methods for the law
Engel, Christoph - 2017
To their credit, empirical legal scholars try to live up to the highest methodological standards from the social sciences. But these standards do not always match the legal research question. This paper focuses on normative legal argument based on empirical evidence. Whether there is a normative...
Persistent link: https://www.econbiz.de/10011645949
Cover Image
Content analysis of XBRL filings as an efficient supplement of bankruptcy prediction? : empirical evidence based on US GAAP annual reports
Henselmann, Klaus; Scherr, Elisabeth - 2012
Most of the bankruptcy prediction models developed so far have in common that they are based on quantitative data or more precisely financial ratios. However, useful information can be lost when disregarding soft information. In this work, we develop an automated content analysis technique to...
Persistent link: https://www.econbiz.de/10009539342