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Ranking professional forecasters by the predictive power of their narratives
Rybiński, Krzysztof - In: International journal of forecasting 37 (2021) 1, pp. 186-204
Persistent link: https://www.econbiz.de/10012692692
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Forecasting US equity and bond correlation : a machine learning approach
Wu, Boyu; DiCiurcio, Kevin J.; Yeo, Beatrice; Wang, Qian - In: The journal of financial data science 4 (2022) 1, pp. 76-86
The stock-bond correlation is a cornerstone of every asset allocation decision, but estimating it reliably can prove to … supervised machine learning techniques, this article presents a new approach for identifying key determinants of the correlation … growth, and inflation uncertainty, predict changes in correlation dynamics overtime. Relative to the existing literature, the …
Persistent link: https://www.econbiz.de/10014232586
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Time-varying dictionary and the predictive power of FED minutes
Lima, Luiz Renato; Godeiro, Lucas Lúcio; Mohsin, Mohammed - In: Computational economics 57 (2021) 1, pp. 149-181
Persistent link: https://www.econbiz.de/10012486887
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Interpretable binary and multiclass prediction models for insolvencies and credit ratings
Obermann, Lennart - 2016
Insolvenzprognosen und Ratings sind wichtige Aufgaben der Finanzbranche und dienen der Kreditwürdigkeitsprüfung von Unternehmen. Eine Möglichkeit dieses Aufgabenfeld anzugehen, ist maschinelles Lernen. Dabei werden Vorhersagemodelle aufgrund von Beispieldaten aufgestellt. Methoden aus diesem...
Persistent link: https://www.econbiz.de/10011806693
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Improved stock price forecasting by streamlining indicators : an approach via feature selection and classification
Sheikhzadeh, Mohammad Javad; Rahmany, Sajjad - In: International journal of computational economics and … 14 (2024) 1, pp. 42-60
Persistent link: https://www.econbiz.de/10015062774
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A rank approach to equity forecast construction
Satchell, Stephen (contributor); Wright, S. M. (contributor) - 2005
Persistent link: https://www.econbiz.de/10003262379
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Forecast Ranked Tailored Equity Portfolios
Buncic, Daniel - 2019
We use a dynamic model averaging (DMA) approach to construct forecasts of individual equity returns for a large cross-section of stocks contained in the SP500, FTSE100, DAX30, CAC40 and SPX30 headline indices, taking value, momentum, and quality factors as predictor variables. Fixing the set of...
Persistent link: https://www.econbiz.de/10012897247
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Rank extrapolation : asymmetric forecasts of future rank after rank change
Pettit, Nathan C.; Doyle, Sarah P.; Kim, Hee Young; … - In: Organizational behavior and human decision processes : … 169 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013207463
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Ranking Professional Forecasters by the Predictive Power of Their Narratives
Rybinski, Krzysztof - 2020
This article presents the first ever ranking of professional forecasters based on the predictive power of the narrative of their regular research reports. The ranking is generated by applying the fully automated four-step procedure – called NLP-ForRank – developed in this article. The four...
Persistent link: https://www.econbiz.de/10012830183
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Evaluation and ranking of market forecasters
Bailey, David H.; Borwein, Jonathan M.; Salehipour, Amir; … - In: Journal of investment management : JOIM 16 (2018) 2, pp. 47-64
Persistent link: https://www.econbiz.de/10011915448