Showing 1 - 10 of 2,360
The problem of estimation of realized correlation, which is analogous to realized covariance, is compounded by effects …
Persistent link: https://www.econbiz.de/10013082359
The paper proposes a new algorithm for finding the confidence set of a collection of forecasts or prediction models. Existing numerical implementations for finding the confidence set use an elimination approach where one starts with the full collection of models and successively eliminates the...
Persistent link: https://www.econbiz.de/10011342917
We present a detailed methodological study of the application of the modified profile likelihood method for the calibration of nonlinear financial models characterised by a large number of parameters. We apply the general approach to the Log-Periodic Power Law Singularity (LPPLS) model of...
Persistent link: https://www.econbiz.de/10011514498
This paper presents a method for estimating and forecasting global data, based on a novel space-time extension of a …
Persistent link: https://www.econbiz.de/10012868604
We extend the results of De Luca et al. (2021) to inference for linear regression models based on weighted … the performance of WALS with that of several competing estimators, including the unrestricted least-squares estimator … (with all auxiliary regressors) and the restricted least-squares estimator (with no auxiliary regressors), two post …
Persistent link: https://www.econbiz.de/10012510747
We extend the results of De Luca et al. (2021) to inference for linear regression models based on weighted … the performance of WALS with that of several competing estimators, including the unrestricted least-squares estimator … (with all auxiliary regressors) and the restricted least-squares estimator (with no auxiliary regressors), two post …
Persistent link: https://www.econbiz.de/10013228440
In the present paper we analyse how the estimators from Merz u. Wüthrich (2007) could be generalised to the case of N correlated run-off triangles. The simultaneous view on N correlated subportfolios is motivated by the fact, that in practice a run-off portfolio often has to be divided in...
Persistent link: https://www.econbiz.de/10013106624
In this paper we show how to quantify the uncertainty in the difference between the best estimate for the ultimate claim viewed at the beginning and at the end of one year. A second aspect in this paper is how bootstrapping techniques can be used to simulate these uncertainty for several...
Persistent link: https://www.econbiz.de/10013008118
The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic variables without a priori assumptions concerning causality and generate forecasts without additional assumptions regarding regressors. With application of tendency survey data...
Persistent link: https://www.econbiz.de/10010512536
The article compares forecast quality from two atheoretical models. Neither method assumed a priori causality and forecasts were generated without additional assumptions about regressors. Tendency survey data was used within the Bayesian averaging of classical estimates (BACE) framework and...
Persistent link: https://www.econbiz.de/10011349021