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Nonparametric specification testing for continuous-time models with application to spot interest rates

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Measuring international uncertainty using global vector autoregressions with drifting parameters

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This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model six economies jointly. The measure of uncertainty is...

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Quantifizierung von Souveränrisiken

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Forecasting the real price of oil in a changing world : a forecast combination approach

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Zeitstetige und -diskrete dynamische Kreditportfoliomodellierung : ein Vergleich verschiedener Modelle

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Forecasting the real price of oil in a changing world : a forecast combination approach

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-time econometric oil price forecasting models. We investigate the merits of constructing combinations of six such models. Forecast … combinations have received little attention in the oil price forecasting literature to date. We demonstrate that over the last 20 …

Persistent link: https://www.econbiz.de/10010200871

Forecasting Stock Returns with Model Uncertainty and Parameter Instability

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We compare several representative sophisticated model averaging and variable selection techniques of forecasting stock …

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