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Real-time multivariate density forecast evaluation and calibration : monitoring the risk of high-frequency returns on foreign exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 1998

Persistent link: https://www.econbiz.de/10000682409

Essays on international macroeconomics and conflict analysis

Bhattacharya, Prasad S. - 2005

Persistent link: https://www.econbiz.de/10003553273

Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging

Jumah, Adusei; Kunst, Robert M. - 2008

evaluation of predictive accuracy, we subject all structures to a mutual validation using parametric bootstrapping. Ultimately … small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short …

Persistent link: https://www.econbiz.de/10009735355

Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging

Jumah, Adusei; Kunst, Robert M. - 2008

Persistent link: https://www.econbiz.de/10003778880

Expert judgement in financial markets : three empirical studies

Kappler, Andreas - 2008

Persistent link: https://www.econbiz.de/10003778064

International stock return predictability under model uncertainty

Schrimpf, Andreas (contributor) - 2008

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

Persistent link: https://www.econbiz.de/10003728591