Showing 1 - 10 of 1,327
We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest discriminatory power as measured by the receiver operating...
Persistent link: https://www.econbiz.de/10010475341
Persistent link: https://www.econbiz.de/10011429746
methods. Our methodology explores the idea that only a small part of the likelihood evaluation problem requires simulation. We …-off encountered by other sampling methods. An elaborate simulation study and an empirical application for U.S. stock returns reveal …
Persistent link: https://www.econbiz.de/10011386179
Persistent link: https://www.econbiz.de/10003934874
Persistent link: https://www.econbiz.de/10008824237
Persistent link: https://www.econbiz.de/10013275497
Persistent link: https://www.econbiz.de/10009626242
Persistent link: https://www.econbiz.de/10008938571
methods. Our methodology explores the idea that only a small part of the likelihood evaluation problem requires simulation. We …-off encountered by other sampling methods. An elaborate simulation study and an empirical application for U.S. stock returns reveal …
Persistent link: https://www.econbiz.de/10013115029
Persistent link: https://www.econbiz.de/10011778286