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Forecasting in the presence of instabilities : how do we know whether models predict well and how to improve them

Rossi, Barbara - 2019 - This Draft: November 2019

Persistent link: https://www.econbiz.de/10012209873

Identifying the news in analysts' earnings forecasts revisions : an alternative to the random walk expectation

Pfeiffer, Ray J.; Teitel, Karen; Wahab, Susan; Wahab, … - In: Review of Pacific Basin financial markets and policies 24 (2021) 4, pp. 2150032-1-2150032-42

Persistent link: https://www.econbiz.de/10012805192

Forecasting random walks under drift instability

Pesaran, M. Hashem; Pick, Andreas - 2008

Persistent link: https://www.econbiz.de/10003850869

Forecasting random walks under drift instability

Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2008

Persistent link: https://www.econbiz.de/10003711763

Forecasting random walks under drift instability

Pesaran, M. Hashem; Pick, Andreas - 2009

Persistent link: https://www.econbiz.de/10003816240

Forecasting Random Walks under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks. It is shown that compared to...

Persistent link: https://www.econbiz.de/10012714199