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Persistent link: https://www.econbiz.de/10005490693
This paper argues that inferring long-horizon asset-return predictability from the properties of vector autoregressive (VAR) models on relatively short spans of data is potentially unreliable. We illustrate the problems that can arise by re-examining the findings of Bekaert and Hodrick (1992),...
Persistent link: https://www.econbiz.de/10005490919
This paper examines the evaluation of models claimed to be relevant for policy making purposes. A number of tests are proposed to determine the usefulness of such models in the policy making process. These tests are applied to three empirical examples.
Persistent link: https://www.econbiz.de/10005498839
Beginning in 1998, U.S. commercial banks may determine their regulatory capital requirements for financial market risk exposure using value-at-risk (VaR) models i.e., models of the time-varying distributions of portfolio returns. Currently, regulators have available three hypothesis-testing...
Persistent link: https://www.econbiz.de/10005526313
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In a factor-augmented regression, the forecast of a variable depends on a few factors estimated from a large number of predictors. But how does one determine the appropriate number of factors relevant for such a regression? Existing work has focused on criteria that can consistently estimate the...
Persistent link: https://www.econbiz.de/10005420506
different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic …). The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should … common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using static and …
Persistent link: https://www.econbiz.de/10005423181
The goal of the article lies in forecasting tendencies of the current demand of the local labour market on the basis of … macro-economic indicators, the article builds equations of multiple regression, use of which would allow forecasting the … current demand in the local labour market in the middle-term perspective. The prospect of further studies is forecasting the …
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