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The Qualitative Expectations Hypothesis : Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment
Frydman, Roman - 2017
We introduce the Qualitative Expectations Hypothesis (QEH) as a new approach to modeling macroeconomic and Financial outcomes. Building on John Muth's seminal insight underpinning the Rational Expectations Hypothesis (REH), QEH represents the market's forecasts to be consistent with the...
Persistent link: https://www.econbiz.de/10012953086
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The Qualitative Expectations Hypothesis : Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment
Frydman, Roman - 2017
We introduce the Qualitative Expectations Hypothesis (QEH) as a new approach to modeling macroeconomic and Financial outcomes. Building on John Muth's seminal insight underpinning the Rational Expectations Hypothesis (REH), QEH represents the market's forecasts to be consistent with the...
Persistent link: https://www.econbiz.de/10012953166
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The Qualitative Expectations Hypothesis : Model Ambiguity, Consistent Representations of Market Forecasts, and Sentiment
Frydman, Roman - 2017
We introduce the Qualitative Expectations Hypothesis (QEH) as a new approach to modeling macroeconomic and financial outcomes. Building on John Muth's seminal insight underpinning the Rational Expectations Hypothesis (REH), QEH represents the market's forecasts to be consistent with the...
Persistent link: https://www.econbiz.de/10012953692
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Forecasting with the age-period-cohort model and the extended chain-ladder model
Kuang, Di; Nielsen, Bent; Nielsen, Jens Perch - 2008
Persistent link: https://www.econbiz.de/10003807442
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Identification and forecasting in the Lee-Carter model
Nielsen, Bent; Nielsen, Jens Perch - 2010
Persistent link: https://www.econbiz.de/10008822237
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Forecasting in an extended chain-ladder-type model
Kuang, Di; Nielsen, Bent; Nielsen, Jens Perch - In: The journal of risk and insurance : the journal of the … 78 (2011) 2, pp. 345-359
Persistent link: https://www.econbiz.de/10009162046
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Inference and forecasting in the age-period-cohort model with unknown exposure with an application to mesothelioma mortality
Miranda, Maŕa Dolores Mart́nez; Nielsen, Bent; … - 2013
Persistent link: https://www.econbiz.de/10009747337
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Measuring and forecasting financial variability using realised variance
Barndorff-Nielsen, Ole E.; Nielsen, Bent; Shephard, Neil G. - In: State space and unobserved component models : theory …, (pp. 205-235). 2004
Persistent link: https://www.econbiz.de/10009719924
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Over-dispersed age-period-cohort models
Harnau, Jonas; Nielsen, Bent - 2017
Persistent link: https://www.econbiz.de/10011882276