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Hedge Effectiveness Forecasting
Dahlgran, Roger A.; Ma, Xudong - 2008
mathematical and simulation analysis we determine the following: (a) the regression R2 in the hedge ratio regression will generally …
Persistent link: https://www.econbiz.de/10009443344
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The Relative Performance of In-Sample and Out-of-Sample Hedging Effectiveness Indicators
Dahlgran, Roger A. - 2009
Hedging effectiveness is the proportion of price risk removed through hedging. Empiricalhedging studies typically estimate a set of risk minimizing hedge ratios, estimate the hedgingeffectiveness statistic, apply the estimated hedge ratios to a second group of data, and examinethe robustness of...
Persistent link: https://www.econbiz.de/10009446391
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Real Exchange Rates and Switching Regimes
Bergman, U. Michael; Hansson, Jesper - 2000
We suggest that the real exchange rate between the major currencies in the post-Bretton Woods period can be described by a stationary, two state Markov switching AR(1) model. Based on the forecast performance, both in-sample and out-of-sample, we find that this model out-performs two competing...
Persistent link: https://www.econbiz.de/10013208399
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New strategies to improve the accuracy of predictions based on Monte Carlo and bootstrap simulations : an application to Bulgarian and Romanian inflation
Bratu, Mihaela - In: Revista de métodos cuantitativos para la economía y … 18 (2014), pp. 112-129
The necessity of improving the forecasts accuracy grew in the context of ac- tual economic crisis, but few researchers … inflation rate forecasts on the horizon 2010 - 2012, we proved that the one-step-ahead forecasts based on updated AR(2) models … constructing the forecasts, by using the limits of the bias- corrected-accelerated bootstrap intervals for the initial data series …
Persistent link: https://www.econbiz.de/10010506046
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The evaluation of quarterly forecast intervals for inflation rate in Romania
Bratu, Mihaela; Drăgan, Irina - In: Economic review : journal of economics & business 14 (2016) 1, pp. 80-89
bootstrap simulations were used for assessing the uncertainty in inflation rate forecasts in Romania. …
Persistent link: https://www.econbiz.de/10012012468
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Real Exchange Rates and Switching Regimes
Bergman, U. Michael; Hansson, Jesper - Nationalekonomiska Institutionen, Ekonomihögskolan - 1999
We suggest that the real exchange rate between the major currencies in the post-Bretton Woods period can be described by a stationary, two state Markov switching AR(1) model. Based on the forecast performance, both in-sample and out-of-sample, we find that this model out-performs two competing...
Persistent link: https://www.econbiz.de/10005206993
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Business Forecasting with Exponential Smoothing : Computation of Prediction Intervals.
Snyder, R.D.; Grose, S. - Department of Econometrics and Business Statistics, … - 1996
The problem considered in this paper is how to find reliable prediction intervals with simple exponential smoothing and trend corrected exponential smoothing. Methods for constructing prediction intervals based on linear approximation and bootstrapping are proposed.
Persistent link: https://www.econbiz.de/10005087580
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Do changes in distance-to-default anticipate changes in the credit rating?
Aggarwal, Nidhi; Singh, Manish; Thomas, Susan - Indira Gandhi Institute of Development Research (IGIDR) - 2012
for predicting change in the credit rating. This is directly useful for situations where forecasts of credit rating …
Persistent link: https://www.econbiz.de/10010548056
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The Relative Performance of In-Sample and Out-of-Sample Hedging Effectiveness Indicators
Dahlgran, Roger A. - Department of Agricultural and Consumer Economics, … - 2009
-sample and out-of-sample hedging effectiveness estimators. Through mathematical and simulation analysis we determine the …
Persistent link: https://www.econbiz.de/10009368376
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Global natural projections
Catalano, Michele; Pezzolla, Emilia - In: Empirica : journal of european economics 49 (2022) 4, pp. 949-990
Persistent link: https://www.econbiz.de/10013447689