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Human judgement is heavy tailed : empirical evidence and implications for the aggregation of estimates and forecasts
Lobo, Miguel Sousa; Yao, Dai - 2010
Persistent link: https://www.econbiz.de/10008807692
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Bagging weak predictors
Hillebrand, Eric; Lukas, Manuel; Wei, Wei - In: International journal of forecasting 37 (2021) 1, pp. 237-254
Persistent link: https://www.econbiz.de/10012692700
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Bagging weak predictors
Hillebrand, Eric; Lukas, Manuel; Wei, Wei - 2020
Persistent link: https://www.econbiz.de/10012607673
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Human Judgement is Heavy Tailed : Empirical Evidence and Implications for the Aggregation of Estimates and Forecasts
Sousa Lobo, Miguel - 2010
real-valued quantities and their aggregation almost universally assumes that errors follow a jointly normal distribution …-exponential distribution, and 2 the normal distribution). This has important implications, in particular for the aggregation of expert … estimates and forecasts. We describe optimal Bayesian aggregation with heavy tails, and propose a simple average-median average …
Persistent link: https://www.econbiz.de/10013141192
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Asset Pricing In a World of Imperfect Foresight
Bossaerts, Peter - 2020
We consider a canonical asset pricing model, where agents with quadratic preferences are allowed to retrade a limited set of securities over multiple periods, after which these securities expire, and agents consume their liquidation values. A key assumption in this model is that agents have...
Persistent link: https://www.econbiz.de/10012833019
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Imperfect Foresight
Briggs, Jonathan - 2019
We present an explicit framework for horizon based investing that results in superior expected risk adjusted returns and lower turnover. The framework includes a means of empirically determining an expected horizon and its confidence intervals, an alpha model structure linking horizon with the...
Persistent link: https://www.econbiz.de/10012896322
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Information frictions and stock returns
Yang, Xiaolou - In: Journal of risk and financial management : JRFM 13 (2020) 7/140, pp. 1-13
The purpose of this paper is to assess the impact of ambiguity on financial analyst forecast incentives and the associated abnormal stock returns. I present a model incorporating ambiguity aversion into a two-period Lucas tree model. The resulting model confirms the role of ambiguity in the...
Persistent link: https://www.econbiz.de/10012309266
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Forecasting of the German stock market prices with a modified Box-Jenkins-Model and a multiple regression model
Hansmann, Karl-Werner - Institut für Industriebetriebsforschung <Hamburg> - 1983
Persistent link: https://www.econbiz.de/10000714931
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Prediction of spiralling in BTA deep-hole drilling : estimating the system's eigenfrequencies
Szepannek, Gero; Raabe, Nils; Webber, Oliver; Weihs, Claus - 2006
One serious problem in deep-hole drilling is the formation of a dynamic disturbance called spiralling which causes holes with several lobes. Since such lobes are a severe impairment of the bore hole quality the formation of spiralling has to be prevented. Gessesse et al. [2] explain spiralling...
Persistent link: https://www.econbiz.de/10003354435
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A dynamic regression forecasting model of Australian telecommunications traffic
Layton, Allan P. - 1986
Persistent link: https://www.econbiz.de/10003615498