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On asymptotic risk of selecting models for possibly nonstationary time-series

Yu, Shu-Hui; Sin, Chor-yiu - In: Econometric reviews 40 (2021) 4, pp. 387-414

Persistent link: https://www.econbiz.de/10012515606

Economic predictions with big data: The illusion of sparsity

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2018

deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage …

Persistent link: https://www.econbiz.de/10012144690

Optimal combination of survey forecasts

Conflitti, Cristina; De Mol, Christine; Giannone, Domenico - In: International journal of forecasting 31 (2015) 4, pp. 1096-1103

Persistent link: https://www.econbiz.de/10011474905

Forecasting with a hybrid method utilizing data smoothing, a variation of the Theta method and shrinkage of seasonal factors

Spiliotis, Evangelos; Assimakopoulos, V.; Nikolopoulos, … - In: International journal of production economics 209 (2019), pp. 92-102

Persistent link: https://www.econbiz.de/10012013066

Covariance prediction in large portfolio allocation

Trucíos, Carlos; Zevallos, Mauricio; Hotta, Luiz K.; … - In: Econometrics : open access journal 7 (2019) 2/19, pp. 1-24

Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based on forecasts of the conditional variances, covariances and correlations of financial returns. The paper shows an empirical comparison of several methods to predict...

Persistent link: https://www.econbiz.de/10012025822

Inducing sparsity and shrinkage in time-varying parameter models

Huber, Florian; Koop, Gary; Onorante, Luca - 2019

variables in the model is large. Global-local priors are increasingly used to induce shrinkage in such models. But the estimates … relative to shrinkage alone. …

Persistent link: https://www.econbiz.de/10012031047

Forecasting macroeconomic variables in data-rich environments

Medeiros, Marcelo C.; Vasconcelos, Gabriel F. R. - In: Economics letters 138 (2016), pp. 50-52

Persistent link: https://www.econbiz.de/10011615474

Forecasting day-ahead electricity prices : utilizing hourly prices

Raviv, Eran; Bouwman, Kees E.; Dijk, Dick van - In: Energy economics 50 (2015), pp. 227-239

Persistent link: https://www.econbiz.de/10011564052

Forecasting Brazilian inflation with high dimensional models

Medeiros, Marcelo C.; Vasconcelos, Gabriel F. R.; … - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 2, pp. 223-254

Persistent link: https://www.econbiz.de/10011644505

Forecasting exchange rates under parameter and model uncertainty

Beckmann, Joscha; Schüssler, Rainer - In: Journal of international money and finance 60 (2016), pp. 267-288

Persistent link: https://www.econbiz.de/10011660878