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Forecasting asset returns in state space models
Boos, Dominik - 2011
Erwartungen über die zukünftige Entwicklung der Wirtschaft sind von herausragender Bedeutung, um in einem stochastischen Umfeld die richtigen Entscheidungen zu treffen. Daher werden Prognoseverfahren seit langem erforscht. Grösstenteils basieren diese Untersuchungen auf Regressionstechniken...
Persistent link: https://www.econbiz.de/10008938595
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Maximum likelihood estimation of the equity premium
Avdis, Efstathios; Wachter, Jessica - In: Journal of financial economics 125 (2017) 3, pp. 589-609
Persistent link: https://www.econbiz.de/10011751863
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Prediction of stock price movement using continuous time models
Sonono, Masimba E.; Mashele, Hopolang P. - In: Journal of mathematical finance 5 (2015) 2, pp. 178-191
Persistent link: https://www.econbiz.de/10011398992
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Estimating and predicting the general random effects model
Kouassi, Eugène; Kamdem, Alain Constant; Mougoué, Mbodja - In: Journal of forecasting 33 (2014) 4, pp. 270-283
Persistent link: https://www.econbiz.de/10010425747
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Forecasting Thai mortality by using the Lee-Carter model
Natthasurang Yasungnoen; Pairote Sattayatham - In: Asia-Pacific journal of risk and insurance : APJRI 10 (2016) 1, pp. 91-105
Persistent link: https://www.econbiz.de/10011410554
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The volatility of mortality
Bauer, Daniel; Börger, Matthias; Ruß, Jochen; … - 2008
Persistent link: https://www.econbiz.de/10003638564
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Model-based measurement of actual volatility in high-frequency data
Jungbacker, Borus; Koopman, Siem Jan - 2006
Persistent link: https://www.econbiz.de/10003331376
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Partial liklihood-based scoring rules for evaluating density forecasts in tails
Diks, Cees G. H. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003798183
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An hourly periodic state space model for modelling French national electricity load
Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - In: International journal of forecasting 24 (2008) 4, pp. 566-587
Persistent link: https://www.econbiz.de/10003808308
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Empirical Bayes spatial prediction using a Monte Carlo EM algorithm
Khaledi, Majid Jafari; Rivaz, Firoozeh - In: Statistical methods & applications : SMA ; journal of … 18 (2009) 1, pp. 35-47
Persistent link: https://www.econbiz.de/10003812508