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Robust block bootstrap panel predictability tests
Westerlund, Joakim; Smeekes, Stephan - 2013
Persistent link: https://www.econbiz.de/10010199463
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New strategies to improve the accuracy of predictions based on Monte Carlo and bootstrap simulations : an application to Bulgarian and Romanian inflation
Bratu, Mihaela - In: Revista de métodos cuantitativos para la economía y … 18 (2014), pp. 112-129
The necessity of improving the forecasts accuracy grew in the context of ac- tual economic crisis, but few researchers were interested till now in finding out some empirical strategies to improve their predictions. In this article, for the inflation rate forecasts on the horizon 2010 - 2012, we...
Persistent link: https://www.econbiz.de/10010506046
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Robust Value at Risk Prediction : Appendix
Mancini, Loriano - 2010
This appendix extends simulation and empirical results reported in Mancini and Trojani (2010). It discusses the choice … forecast evaluation; provides additional Monte Carlo simulation results on GARCH model estimation and VaR prediction; extends …
Persistent link: https://www.econbiz.de/10013138328
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Likelihood Based Inference and Prediction in Spatio-Temporal Panel Count Models for Urban Crimes
Liesenfeld, Roman; Richard, Jean-Francois; Vogler, Jan - 2015
We develop a panel data count model combined with a latent Gaussian spatio-temporal heterogenous state process to …
Persistent link: https://www.econbiz.de/10014135197
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Predicting financial crises : the (statistical) significance of the signals approach
Shagi, Makram el-; Knedlik, Tobias; Schweinitz, Gregor von - 2012
The signals approach as an early warning system has been fairly successful in detecting crises, but it has so far failed to gain popularity in the scientific community because it does not distinguish between randomly achieved in-sample fit and true predictive power. To overcome this obstacle, we...
Persistent link: https://www.econbiz.de/10009522259
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A Kolmogorov-Smirnov based test for comparing the predictive accuracy of two sets of forecasts
Hassani, Hossein; Silva, Sirimal Emmanuel - In: Econometrics : open access journal 3 (2015) 3, pp. 590-609
accuracy of forecasts. We perform a simulation study for the size and power of the proposed test and report the results for … different noise distributions, sample sizes and forecasting horizons. The simulation results indicate that the KSPA test is …
Persistent link: https://www.econbiz.de/10011410629
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On Bootstrapping Tests of Equal Forecast Accuracy for Nested Models
Doko Tchatoka, Firmin; Haque, Qazi - 2020
The asymptotic distributions of the recursive out-of-sample forecast accuracy test statistics depend on stochastic integrals of Brownian motion when the models under comparison are nested. This often complicates their implementation in practice because the computation of their asymptotic...
Persistent link: https://www.econbiz.de/10014101174
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Equilibrium real effective exchange rates and real exchange rate misalignments : time series vs. panel estimates
Hossfeld, Oliver - 2010
panel cointegration techniques to derive fully countryspecific measures of misalignment and measures based on panel … effective exchange rates and currency misalignments for the US and its 16 major trading partners. We apply cointegration and …-of-sample performance prior to comparing it to two final panel specifications. Robustness of the results is supported by recently introduced …
Persistent link: https://www.econbiz.de/10011374380
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Predictive Regression and Robust Hypothesis Testing : Predictability Hidden by Anomalous Observations
Camponovo, Lorenzo - 2012
Testing procedures for predictive regressions with lagged autoregressive variables imply a suboptimal inference in presence of small violations of ideal assumptions. We propose a novel testing framework resistant to such violations, which is consistent with nearly integrated regressors and...
Persistent link: https://www.econbiz.de/10013105355
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Dynamic Implied Correlation Modeling and Forecasting in Structured Finance
Löhr, Sebastian - 2015
derivatives such as synthetic single-tranche collateralized debt obligation swaps. This paper suggests a dynamic panel regression …
Persistent link: https://www.econbiz.de/10013034784