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Consistent estimation of structural parameters in regression models with adaptive learning
Christopeit, Norbert; Massmann, Michael - 2010
In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive …
Persistent link: https://www.econbiz.de/10011381034
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Strong Consistency of the Least-Squares Estimator in Simple Regression Models with Stochastic Regressors
Christopeit, Norbert - 2015
Strong consistency of least squares estimators of the slope parameter in simple linear regression models is established for predetermined stochastic regressors. The main result covers a class of models which falls outside the applicability of what is presently available in the literature. An...
Persistent link: https://www.econbiz.de/10013036394
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Consistent Estimation of Structural Parameters in Regression Models with Adaptive Learning
Christopeit, Norbert - 2010
In this paper we consider regression models with forecast feedback. Agents' expectations are formed via the recursive …
Persistent link: https://www.econbiz.de/10013139606
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Predicting the prices of electricity derivatives on the energy exchange
Kratochvíl, Štěpán; Starý, Oldřich - In: Acta oeconomica Pragensia : vědecký časopis Vysoke … 21 (2013) 6, pp. 65-81
Persistent link: https://www.econbiz.de/10010400360
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Empirical calibration of adaptive learning
Berardi, Michele; Galimberti, Jaqueson K. - 2015
performance in forecasting macroeconomic variables and in matching survey forecasts. Our results indicate a great degree of …. Calibrations to match survey forecasts are found to be lower than those derived according to the forecasting performance …
Persistent link: https://www.econbiz.de/10011316387
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Information Weighting Under Least Squares Learning
Galimberti, Jaqueson K - 2020
This paper evaluates how adaptive learning agents weight different pieces of information when forming expectations with a recursive least squares algorithm. The analysis is based on a renewed and more general non-recursive representation of the learning algorithm, namely, a penalized weighted...
Persistent link: https://www.econbiz.de/10014098300
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Back to the futures : an assessment of commodity market efficiency and forecast error drivers
Algieri, Bernardina; Kalkuhl, Matthias - 2014
traditional analyses of efficiency and assess the relative forecasting performance of futures markets; i.e., the difference … between the realization and prediction of future spot prices, and what factors affect these forecast errors. The results of … formation process, thus increasing forecast errors. Conversely, long-term speculation, proxied by the Working-T index and the …
Persistent link: https://www.econbiz.de/10010410400
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The value line stock rankings and the option model implied standard deviations
Tezel, Ahmet - In: The journal of financial research 11 (1988) 3, pp. 215-225
Persistent link: https://www.econbiz.de/10001090732
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On the properties of the valuation formula for an unprotected American call option with known dividends and the computation of its implied standard deviation
Welch, Robert L. - In: Advances in futures and options research : a research annual 3 (1988), pp. 237-256
Persistent link: https://www.econbiz.de/10001081728
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Neural networks in the capital markets : an applikation to index forecasting
Häfke, Christian; Helmenstein, Christian - 1995
Persistent link: https://www.econbiz.de/10013439115