Narrow search
Showing 1 - 10 of 7,364
Cover Image
A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter
Tsay, Wen-jen - 2017
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...
Persistent link: https://www.econbiz.de/10012966243
Cover Image
A generalized ARFIMA process with Markov-switching fractional differencing parameter
Tsay, Wen-jen (contributor); Härdle, Wolfgang (contributor) - 2007
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the DLV algorithm proposed. This algorithm...
Persistent link: https://www.econbiz.de/10003633683
Cover Image
Package CovRegpy : Regularised Covariance Regression and Forecasting in Python
van Jaarsveldt, Cole; Peters, Gareth; Ames, Matthew; … - 2023
This paper will outline the functionality available in the CovRegpy package for actuarial practitioners, wealth managers, fund managers, and portfolio analysts written in Python 3.7. The major contributions of CovRegpy can be found in the CovRegpy_DCC.py, CovRegpy_IFF.py, CovRegpy_RCR.py,...
Persistent link: https://www.econbiz.de/10014253907
Cover Image
Global and Asset Class Diversified ETF Portfolio Strategy - A Convex Mean/CVaR Optimization Approach using Dynamic Copulas with Flexible Probabilities
Mantesso F, Flavio; Ahmed, Joe; Flores, Mauro - 2023
One of the most important factors to control for the achievements of investment portfolio returns is risk. If we only think that a 100% positive return is needed to recover a portfolio loss of 50%, we can understand why. With the advent of the exponential growth of technology usage in markets,...
Persistent link: https://www.econbiz.de/10014254526
Cover Image
Long/Short Equity Risk Premia Parity Portfolios via Implicit Factors in Regularized Covariance Regression
van Jaarsveldt, Cole; Peters, Gareth; Ames, Matthew; … - 2023
covariance forecasts for a universe of selected asset returns. This provides a unique method to obtain predictive covariance …
Persistent link: https://www.econbiz.de/10014348857
Cover Image
On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations
Rossen, Anja - 2014
Although many macroeconomic time series are assumed to follow nonlinear processes, nonlinear models often do not provide better predictions than their linear counterparts. Furthermore, such models easily become very complex and difficult to estimate. The aim of this study is to investigate...
Persistent link: https://www.econbiz.de/10010434848
Cover Image
Assumption errors and forecast accuracy : a partial linear instrumental variable and double machine learning approach
Heinisch, Katja; Scaramella, Fabio; Schult, Christoph - Leibniz-Institut für Wirtschaftsforschung Halle - 2025
Accurate macroeconomic forecasts are essential for effective policy decisions, yet their precision depends on the …/debiased machine learning (DML) techniques and partial linear instrumental variable (PLIV) models, we analyze GDP growth forecasts for … underscore the importance of advanced econometric tools to improve the evaluation of macroeconomic forecasts. …
Persistent link: https://www.econbiz.de/10015402911
Cover Image
Does forecasting the oil with nonlinear models produce nonlinear forecasts?
Petre, Caraiani - 2018
Persistent link: https://www.econbiz.de/10012302299
Cover Image
Three Essays on Time-Series Macroeconomics
Albuquerque, Pedro H. - 2022
The first two chapters of this thesis propose new time-series methods and apply them to macroeconomic problems, while the third chapter evaluates the predictions of a dynamic general equilibrium model. The first chapter develops a practical log-linear aggregation procedure, which is applied to...
Persistent link: https://www.econbiz.de/10014078925
Cover Image
Temperature anomalies, long memory, and aggregation
Vera-Valdés, J. Eduardo - In: Econometrics : open access journal 9 (2021) 1/9, pp. 1-22
Econometric studies for global heating have typically used regional or global temperature averages to study its long memory properties. One typical explanation behind the long memory properties of temperature averages is cross-sectional aggregation. Nonetheless, formal analysis regarding the...
Persistent link: https://www.econbiz.de/10012483296