squared return prediction errors gives an adequate approximation of the unobserved realised conditional variance for both the …

squared return prediction errors gives an adequate approximation of the unobserved realised conditional variance for both the …

measures. Our empirical analysis centers around the implementation of a series of simulation and prediction experiments, as … well as a discussion of the stochastic properties of seasonal unit root models. Our prediction experiments are based on … of greater than one-step ahead, our SUR model perform poorly when used for prediction, suggesting that parameter …

This volume – Predicting Crisis: Five Essays on the Mathematic Prediction of Economic and Social Crises – is the first …

Conventional wisdom usually suggests that agents should use all the data they have to make the best possible prediction …