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Forecast combination under heavy-tailed errors

Cheng, Gang; Wang, Sicong; Yang, Yuhong - In: Econometrics : open access journal 3 (2015) 4, pp. 797-824

Forecast combination has been proven to be a very important technique to obtain accurate predictions for various applications in economics, finance, marketing and many other areas. In many applications, forecast errors exhibit heavy-tailed behaviors for various reasons. Unfortunately, to our...

Persistent link: https://www.econbiz.de/10011411497

Bequests, control rights, and cost-benefit analysis

Glazer, Amihai; Kanniainen, Vesa; Niskanen, Esko - 2001

Consider a public project which produces a consumption good and which benefits future generations. Let a conventional cost-benefit analysis find that it gives higher benefits than projects it would dis-place in the private sector. Voters may nevertheless oppose the public project: the...

Persistent link: https://www.econbiz.de/10011400766

Toward a Political Economy of Cost-Benefit Analysis

Cole, Daniel H. - 2012

This is a substantially revised, refocused, and updated version of an earlier draft paper, exploring the significant role Cost-Benefit Analysis (CBA) plays in facilitating or impeding legislative and regulatory policy decisions. The paper centers around three case studies of CBAs EPA prepared...

Persistent link: https://www.econbiz.de/10013113617

Motives of pro-social behavior in individual versus collective decisions : a comparative experimental study

Bischoff, Ivo; Krauskopf, Thomas - 2013 - This version: March 18, 2013

We investigate the motives of pro-social behavior in collective decisions in an economic experiment. It compares … endowment and have to decide how much of it to donate to charity. The experiment is combined with two long questionnaires that … the control variables are found significant. Comparing subjects' affective state before and after the experiment, we find …

Persistent link: https://www.econbiz.de/10009722766

Bequests, Control Rights, and Cost-Benefit Analysis

Glazer, Amihai; Kanniainen, Vesa; Niskanen, Esko - 2021

Consider a public project which produces a consumption good and which benefits future generations. Let a conventional cost-benefit analysis find that it gives higher benefits than projects it would displace in the private sector. Voters may nevertheless oppose the public project: the combination...

Persistent link: https://www.econbiz.de/10013320770

Conditional systemic risk with penalized copula

Okhrin, Ostap; Ristig, Alexander; Sheen, Jeffrey R.; … - 2015

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...

Persistent link: https://www.econbiz.de/10011309638

Bootstrapping time-varying uncertainty intervals for extreme daily return periods

Makatjane, Katleho - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-23

This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) uncertainty intervals in high frequency data. A Bayesian bootstrapping and backtest density forecasts, which are based on a weighted threshold and...

Persistent link: https://www.econbiz.de/10012804913

Financial Econometrics - R Tutorial Guidance

Wang, Yizhi; Vigne, Samuel - 2021

Persistent link: https://www.econbiz.de/10013223934

Multiple Regimes Model Reconstruction Using Symbolic Time Series Methods

Brida, Juan Gabriel - 2011

In this paper we describe and apply the methods of Symbolic Time Series Analysis to an experimental framework. We discuss data symbolization as a tool for identifying temporal patterns in experimental data and use symbol sequence statistics in a model strategy. In particular, we introduce a...

Persistent link: https://www.econbiz.de/10012757098

A robust Bayesian dynamic linear model for Latin-American economic time series : "the Mexico and Puerto Rico cases"

Fúquene, Jairo; Álvarez, Marta; Pericchi, Luis R. - In: Latin American economic review : LAER ; official … 24 (2015), pp. 1-17

The traditional time series methodology requires at least a preliminary transformation of the data to get stationarity. On the other hand, robust Bayesian dynamic models (RBDMs) do not assume a regular pattern or stability of the underlying system but can include points of statement breaks. In...

Persistent link: https://www.econbiz.de/10011885537

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