Narrow search
Showing 1 - 10 of 3,522
Cover Image
Comparing predictive accuracy under long memory : with an application to volatility forecasting
Kruse, Robinson; Leschinski, Christian; Will, Michael - 2016
This paper extends the popular Diebold-Mariano test to situations when the forecast error loss differential exhibits long memory. It is shown that this situation can arise frequently, since long memory can be transmitted from forecasts and the forecast objective to forecast error loss...
Persistent link: https://www.econbiz.de/10011430242
Cover Image
Forecast evaluation tests and negative long-run variance estimates in small samples
Harvey, David I.; Leybourne, Stephen James; Whitehouse, … - In: International journal of forecasting 33 (2017) 4, pp. 833-847
Persistent link: https://www.econbiz.de/10011746914
Cover Image
In-sample tests of predictive ability : a new approach
Clark, Todd E.; McCracken, Michael W. - 2009
Persistent link: https://www.econbiz.de/10003888221
Cover Image
In-Sample tests of predictive ability : a new approach
Clark, Tod E.; McCracken, Michael W. - 2009
Persistent link: https://www.econbiz.de/10003868954
Cover Image
Testing for unconditional predictive ability
Clark, Todd E.; McCracken, Michael W. - 2010
Persistent link: https://www.econbiz.de/10008668619
Cover Image
The use of encompassing tests for forecast combinations
Kıṣınbay, Turgut - 2007
Persistent link: https://www.econbiz.de/10003624888
Cover Image
Is the time-varying parameter model the preferred approach to tourism demand forecasting? : statistical evidence
Shen, Shujie; Li, Gang; Song, Haiyan - In: Advances in tourism economics : new developments, (pp. 107-120). 2009
Persistent link: https://www.econbiz.de/10003943728
Cover Image
Tracking technology trajectory through regression modelling : a retrospective techno-analysis
Srivastava, Shagun; Misra, Madhvendra - In: Technology analysis & strategic management 27 (2015) 4, pp. 420-436
Persistent link: https://www.econbiz.de/10010517254
Cover Image
The deflated Sharpe ratio : correcting for selection bias, backtest overfitting, and non-normality
Bailey, David H.; López de Prado, Marcos M. - In: The journal of portfolio management : a publication of … 40 (2014), pp. 94-107
Persistent link: https://www.econbiz.de/10011433463
Cover Image
A new semiparametric test for superior predictive ability
Cai, Zongwu; Jiang, Jiancheng; Zhang, Jingshuang; … - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 389-405
Persistent link: https://www.econbiz.de/10011287553