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Calculating effective degrees of freedom for forecast combinations and ensemble models

Younker, James - 2022

Forecast combinations, also known as ensemble models, routinely require practitioners to select a model from a massive number of potential candidates. Ten explanatory variables can be grouped into 21078 forecast combinations, and the number of possibilities increases further to 21078+21078 if we...

Persistent link: https://www.econbiz.de/10013402082

Predicting Stock Return Variance in a Large Cross Section

Wu, Liuren; Xu, Yaofei - 2022

The accuracy of variance prediction depends on both the specification and the accuracy of parameter estimation. To predict stock return variance in a large and ever-changing universe, this paper proposes to replace the classic time-series dynamics specification per each name with a...

Persistent link: https://www.econbiz.de/10013403955

Neural Networks for Credit Risk and xVA in a Front Office Pricing Environment

Frodé, Isabelle; Sambergs, Viktor; Zhu, Shengyao - 2022

We present a data-driven proof of concept model capable of reproducing expected counterparty credit exposures from market and trade data. The model has its greatest advantages in quick single-contract exposure evaluations that could be used in front office xVA solutions. The data was generated...

Persistent link: https://www.econbiz.de/10013405380

Forecasts with single-equation Markov-switching model: an application to the gross domestic product of Latvia

Bušs, Ginters - Volkswirtschaftliche Fakultät, … - 2010

. However, if reliable leading information is available, single-equation MS models tend to give somewhat less precise forecasts …

Persistent link: https://www.econbiz.de/10008541474

COMBINING THE FORECASTS USING A STATISTICAL APPROACH

Dospinescu, Andrei Silviu - In: Journal for Economic Forecasting 2 (2005) 2, pp. 72-84

The paper analyzes the circumstances in which the combination of forecasts yields better results than the use of the … forecasts separately. We propose a method of combining forecasts based on their efficiency on long and medium-term using as … benchmarks the combination of forecasts based on regression and the combination of forecasts based on the “hits and misses …

Persistent link: https://www.econbiz.de/10005612234

Dynamic Conditional Correlation: On properties and estimation

Aielli, Gian Piero - Dipartimento di Scienze Economiche "Marco Fanno", … - 2011

We address some issues that arise with the Dynamic Conditional Correlation (DCC) model. We prove that the DCC large system estimator (DCC estimator) can be inconsistent, and that the traditional interpretation of the DCC correlation parameters can lead to misleading conclusions. We then suggest...

Persistent link: https://www.econbiz.de/10011123412

Bayesian Multivariate Time Series Methods for Empirical Macroeconomics

Koop, Gary; Korobilis, Dimitris - Rimini Centre for Economic Analysis (RCEA) - 2009

Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as time-varying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus,...

Persistent link: https://www.econbiz.de/10008487526

The Curious Case of Portfolio Selection : Analysis of Correlations and Diversification over Time

Oskay, Bora - 2018

Persistent link: https://www.econbiz.de/10012913510

Global Financial Risks and Changes in Conditional Value-at-Risk

Lim, Kian-Guan - 2013

The September 2008 collapse of Lehman Brothers was the 9/11 on Wall Street, and many articles had been written on the changes in the global risk landscape that followed. However, there is scarcity of rigorous studies using empirical data and advanced econometric methods to verify such a change...

Persistent link: https://www.econbiz.de/10013092502

An Econometric Model of the Brazilian Stock Market

de Medeiros, Otavio Ribeiro - 2005

The paper documents the specification and estimation of an econometric model of the Brazilian stock market (Bovespa) using a GARCH(1,1) model. We used quarterly data for an estimation period spanning from January 1995 to December 2003. The empirical results show that GDP growth, exchange-rate...

Persistent link: https://www.econbiz.de/10012736568