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Obtaining and Predicting the Bounds of Realized Correlations
Grossmass, Lidan - 2013
The problem of estimation of realized correlation, which is analogous to realized covariance, is compounded by effects …
Persistent link: https://www.econbiz.de/10013082359
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A fast algorithm for finding the confidence set of large collections of models
Barde, Sylvain - 2015
The paper proposes a new algorithm for finding the confidence set of a collection of forecasts or prediction models. Existing numerical implementations for finding the confidence set use an elimination approach where one starts with the full collection of models and successively eliminates the...
Persistent link: https://www.econbiz.de/10011342917
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Modified profile likelihood inference and interval forecast of the burst of financial bubbles
Filimonov, Vladimir; Demos, Guilherme; Heinimann, Hans … - 2016
We present a detailed methodological study of the application of the modified profile likelihood method for the calibration of nonlinear financial models characterised by a large number of parameters. We apply the general approach to the Log-Periodic Power Law Singularity (LPPLS) model of...
Persistent link: https://www.econbiz.de/10011514498
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A Frequency Domain Method for the Estimation and Forecasting of Spatial Big Data
Fernandez-Macho, Javier - 2019
This paper presents a method for estimating and forecasting global data, based on a novel space-time extension of a …
Persistent link: https://www.econbiz.de/10012868604
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Weighted-average least squares (WALS) : confidence and prediction intervals
De Luca, Giuseppe; Magnus, Jan R.; Peracchi, Franco - 2021
We extend the results of De Luca et al. (2021) to inference for linear regression models based on weighted … the performance of WALS with that of several competing estimators, including the unrestricted least-squares estimator … (with all auxiliary regressors) and the restricted least-squares estimator (with no auxiliary regressors), two post …
Persistent link: https://www.econbiz.de/10012510747
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Weighted-average Least Squares (WALS) : Confidence and Prediction Intervals
De Luca, Giuseppe; Magnus, J.R; Peracchi, Franco - 2021
We extend the results of De Luca et al. (2021) to inference for linear regression models based on weighted … the performance of WALS with that of several competing estimators, including the unrestricted least-squares estimator … (with all auxiliary regressors) and the restricted least-squares estimator (with no auxiliary regressors), two post …
Persistent link: https://www.econbiz.de/10013228440
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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
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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
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Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data
Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015
The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic variables without a priori assumptions concerning causality and generate forecasts without additional assumptions regarding regressors. With application of tendency survey data...
Persistent link: https://www.econbiz.de/10010512536
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Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data
Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015
The article compares forecast quality from two atheoretical models. Neither method assumed a priori causality and forecasts were generated without additional assumptions about regressors. Tendency survey data was used within the Bayesian averaging of classical estimates (BACE) framework and...
Persistent link: https://www.econbiz.de/10011349021