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Macroeconomic forecasting with factor-augmented adjusted band regression
Chudý, Marek; Reschenhofer, Erhard - In: Econometrics : open access journal 7 (2019) 4/46, pp. 1-14
Previous findings indicate that the inclusion of dynamic factors obtained from a large set of predictors can improve macroeconomic forecasts. In this paper, we explore three possible further developments: (i) using automatic criteria for choosing those factors which have the greatest predictive...
Persistent link: https://www.econbiz.de/10012160746
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On tuning parameter selection in model selection and model averaging: A Monte Carlo study
Xiao, Hui; Sun, Yiguo - In: Journal of Risk and Financial Management 12 (2019) 3, pp. 1-16
to supplement the literature by studying the class of OLS post-selection estimators. Inspired by the shrinkage averaging … estimator (SAE) and the Mallows model averaging (MMA) estimator, we further propose a shrinkage MMA (SMMA) estimator for …
Persistent link: https://www.econbiz.de/10012611180
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Forecasting the returns of cryptocurrency: A model averaging approach
Xiao, Hui; Sun, Yiguo - In: Journal of Risk and Financial Management 13 (2020) 11, pp. 1-15
estimators to explain the cryptocurrencies' returns. We further introduce a novel model averaging approach or the shrinkage …
Persistent link: https://www.econbiz.de/10012611490
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Economic predictions with big data: The illusion of sparsity
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2018
deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage …
Persistent link: https://www.econbiz.de/10012144690
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Forecasting the returns of cryptocurrency : a model averaging approach
Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 13 (2020) 11/278, pp. 1-15
estimators to explain the cryptocurrencies´ returns. We further introduce a novel model averaging approach or the shrinkage …
Persistent link: https://www.econbiz.de/10012388749
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On tuning parameter selection in model selection and model averaging : a Monte Carlo study
Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 12 (2019) 3/109, pp. 1-16
to supplement the literature by studying the class of OLS post-selection estimators. Inspired by the shrinkage averaging … estimator (SAE) and the Mallows model averaging (MMA) estimator, we further propose a shrinkage MMA (SMMA) estimator for …
Persistent link: https://www.econbiz.de/10012025275
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Economic predictions with big data : the illusion of sparsity
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2018
deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage …
Persistent link: https://www.econbiz.de/10011824834
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Wavelets in statistics: A review
Antoniadis, A. - In: Statistical Methods and Applications 6 (1997) 2, pp. 97-130
Persistent link: https://www.econbiz.de/10008497271
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Essays on asset pricing and portfolio optimization
Koeppel, Christian - 2021
WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio optimization under parameter uncertainty. The first essay "Sentiment risk premia in the cross-section of global equity" applies a recently developed sentiment proxy to the...
Persistent link: https://www.econbiz.de/10012651028
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A simple and successful shrinkage method for weighting estimators of treatment effects
Pohlmeier, Winfried; Seiberlich, Ruben; Uysal, Selver Derya - 2014
A simple shrinkage method is proposed to improve the performance of weighting estimators of the average treatment …, three different variants of a shrinkage method for the propensity scores are analyzed. The results of a comprehensive Monte …
Persistent link: https://www.econbiz.de/10011381919