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Lahiri, Kajal - 2012

Binary events are involved in many economic decision problems. In recent years, considerable progress has been made in diverse disciplines in developing models for forecasting binary outcomes. We distinguish between two types of forecasts for binary events that are generally obtained as the...

Persistent link: https://www.econbiz.de/10013097218

Chapter 14 Survey Expectations

Pesaran, M. Hashem; Weale, Martin - 2006

This paper focuses on survey expectations and discusses their uses for testing and modelling of expectations. Alternative models of expectations formation are reviewed and the importance of allowing for heterogeneity of expectations is emphasized. A weak form of the rational expectations...

Persistent link: https://www.econbiz.de/10014023692

High-dimensional index tracking based on the adaptive elastic net

Shu, Lianjie; Shi, Fangquan; Tian, Guoliang - In: Quantitative finance 20 (2020) 9, pp. 1513-1530

Persistent link: https://www.econbiz.de/10012295621

Forecasting Euro area real GDP: optimal pooling of information

Hülsewig, Oliver; Mayr, Johannes; Wollmershäuser, Timo - 2008

This paper proposes a new method of forecasting euro area quarterly real GDP that uses area-wide indicators, which are derived by optimally pooling the information contained in national indicator series. Following the ideas of predictive modeling, we construct the area-wide indicators by...

Persistent link: https://www.econbiz.de/10010264416

Forecasting value-at-risk under temporal and portfolio aggregation

Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015

We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a … based on asset class, or into a single portfolio. We compare the impact of aggregation to that of choosing a model for the … that the degree of temporal aggregation is most important. Daily returns form the best basis for VaR forecasts. Modelling …

Persistent link: https://www.econbiz.de/10011431503

Two reasons to make aggregated probability forecasts more extreme

Baron, Jonathan; Mellers, Barbara A.; Tetlock, Philip E.; … - In: Decision analysis : a journal of the Institute for … 11 (2014) 2, pp. 133-145

Persistent link: https://www.econbiz.de/10010382759

Forecasting aggregates with disaggregate variables : does boosting help to select the most informative predictors? ; conference paper

Zeng, Jing - 2014

Including disaggregate variables or using information extracted from the disaggregate variables into a forecasting model for an eco- nomic aggregate may improve the forecasting accuracy. In this paper we suggest to use boosting as a method to select the disaggregate variables which are most...

Persistent link: https://www.econbiz.de/10010482520

Aggregation of experts opinions and the assessment of tipping points : catastrophic forecasts for higher temperature changes

Basili, Marcello; Crudu, Federico - 2021

Persistent link: https://www.econbiz.de/10013166311

Hidden experts in the crowd : using meta-predictions to leverage expertise in single-question prediction problems

Wilkening, Tom; Martinie, Marcellin; Howe, Piers D. L. - In: Management science : journal of the Institute for … 68 (2022) 1, pp. 487-508

Persistent link: https://www.econbiz.de/10012821209

Demand forecasting in supply chains : a review of aggregation and hierarchical approaches

Babai, M. Zied; Boylan, John E.; Rostami-Tabar, Bahman - In: International journal of production research 60 (2022) 1, pp. 324-348

Persistent link: https://www.econbiz.de/10012873142

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