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Corporate default prediction model averaging : a normative linear pooling approach
Figini, Silvia; Savona, Roberto; Vezzoli, Marika - In: Intelligent systems in accounting finance and … 23 (2016) 1/2, pp. 6-20
Persistent link: https://www.econbiz.de/10011668111
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Comparing possibly misspecified forecasts
Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 796-809
Persistent link: https://www.econbiz.de/10012313371
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Spatial econometric modelling of massive datasets : the contribution of data mining
Arbia, Giuseppe; Tabasso, M. - 2013
could benefit from the cross-fertilization spatial data mining techniques such as Classification and Regression Trees (CART …). We use the CART algorithm to fit empirical data and produce a tree with optimal tree size for different specifications of …-residuals obtained from the regression tree analysis and we compare the accuracy and performance of different versions of CART that take …
Persistent link: https://www.econbiz.de/10011532588
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Predicting recessions with leading indicators : model averaging and selection over the business cycle
Berge, Travis J. - In: Journal of forecasting 34 (2015) 6, pp. 455-471
Persistent link: https://www.econbiz.de/10011343630
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Forecasting disconnected exchange rates
Berge, Travis J. - 2011
Persistent link: https://www.econbiz.de/10009412986
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Forecasting disconnected exchange rates
Berge, Travis J. - In: Journal of applied econometrics 29 (2014) 5, pp. 713-735
Persistent link: https://www.econbiz.de/10010414857
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Macroeconomic forecasting using factor models and machine learning : an application to Japan
Maehashi, Kohei; Shintani, Mototsugu - 2020
Persistent link: https://www.econbiz.de/10013329759
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Multiple imputation in a complex household survey - the German Panel on Household Finances (PHF): challenges and solutions
Eisele, Martin; Zhu, Junyi - 2013
In this paper, we present a case study of the imputation in a complex household survey - the first wave of the German Panel on Household Finances (PHF). A household wealth survey has to be built on a questionnaire with rather complex logical structure mainly because the probes of many wealth...
Persistent link: https://www.econbiz.de/10010378326
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In- and out-of-sample specification analysis of spot rate models : further evidence for the period 1982 - 2008
Cai, Lili; Swanson, Norman R. - In: Journal of empirical finance 18 (2011) 4, pp. 743-764
Persistent link: https://www.econbiz.de/10009306528
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Direct calibration and comparison of agent-based herding models of financial markets
Barde, Sylvain - 2015
The present paper aims to test a new model comparison methodology by calibrating and comparing three agent-based models of financial markets on the daily returns of 18 indices. The models chosen for this empirical application are the herding model of Gilli & Winker, its asymmetric version by...
Persistent link: https://www.econbiz.de/10010517721