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Simulating Fundamental Analysis of a Firm Using a VECX Model

de Medeiros, Otavio Ribeiro - 2011

The study aims at simulating and forecasting a company's stock returns and prices by a fundamentalist analysis process based on a Vector Error Correction with Exogenous Variables (VECX) econometric model. To achieve this, we selected relevant fundamentalist indicators and specified a model...

Persistent link: https://www.econbiz.de/10013129177

Assessing Point Forecast Bias Across Multiple Time Series : Measures and Visual Tools

Davydenko, Andrey; Goodwin, Paul - 2021

Measuring bias is important as it helps identify flaws in quantitative forecasting methods or judgmental forecasts. It … can, therefore, potentially help improve forecasts. Despite this, bias tends to be under represented in the literature …: many studies focus solely on measuring accuracy. Methods for assessing bias in single series are relatively well known and …

Persistent link: https://www.econbiz.de/10013314570

Log-Normal Creaming and the Likelihood of Discovering Additional Giant Petroleum Fields

Lillestol, Jostein - 2016

This paper considers sampling proportional to expected size from a partly unknown distribution. The applied context is the exploration for undiscovered resources, like oil accumulations in different deposits, where the most promising deposits are likely to be drilled first, based on some...

Persistent link: https://www.econbiz.de/10013000314

Bootstrapping the Chain-Ladder Method for Correlated Run-Off-Triangles for Achieving the Predictive Distribution of the Claims Development Result

Heberle, Jochen - 2016

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

A Collection on the Versatility and Predictive Power of Survey Expectations Data

Guzman, Giselle - 2014

This collection of papers analyzes the versatility and predictive power of survey expectations data in asset pricing and macroeconomic forecasting. The first paper, Using Sentiment Surveys to Predict GDP Growth and Stock Returns sheds new light on the question of whether or not sentiment...

Persistent link: https://www.econbiz.de/10013055949

Creaming - And the Depletion of Resources : A Bayesian Data Analysis

Lillestol, Jostein - 2018

This paper considers sampling in proportion to size from a partly unknown distribution. The applied context is the exploration for undiscovered resources, like oil accumulations in different deposits, where the most promising deposits are likely to be drilled first, based on some geologic size...

Persistent link: https://www.econbiz.de/10012932047

James-Stein estimation of the first principal component

Shkolnik, Alexander - 2021

The Stein paradox has played an influential role in the field of high dimensional statistics. This result warns that the sample mean, classically regarded as the “usual estimator”, may be suboptimal in high dimensions. The development of the James-Stein estimator, that addresses this...

Persistent link: https://www.econbiz.de/10013213561

The past as prologue : a new approach to forecasting

Czasonis, Megan; Kritzman, Mark; Turkington, David - 2021 - This version: January 20, 2021

It is common practice to forecast social, political, and economic outcomes by polling people about their intentions. This approach is direct, but it can be unreliable in settings where it is hard to identify a representative sample, or where subjects have an incentive to conceal their true...

Persistent link: https://www.econbiz.de/10012501630

Chapter 71 Econometric Evaluation of Social Programs, Part II: Using the Marginal Treatment Effect to Organize Alternative Econometric Estimators to Evaluate Social Programs, and t...

Heckman, James J.; Vytlacil, Edward J. - In: Handbook of econometrics : volume 6B, (pp. 4875-5143). 2007

This chapter uses the marginal treatment effect (MTE) to unify and organize the econometric literature on the evaluation of social programs. The marginal treatment effect is a choice-theoretic parameter that can be interpreted as a willingness to pay parameter for persons at a margin of...

Persistent link: https://www.econbiz.de/10014024944

Best Estimate Reporting with Asymmetric Loss

Lillestol, Jostein - 2015

This paper considers the problem of point prediction based on a predictive distribution, representing the uncertainty about the outcome. The issue explored is the reporting of a single characteristic, typically the mean, the median or the mode, in the context of a skewed distribution and...

Persistent link: https://www.econbiz.de/10013029145

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