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Ambiguity, learning, and asset returns

Ju, Nengjiu; Miao, Jianjun - 2007

Persistent link: https://www.econbiz.de/10003679079

A refinement in the specification of empirical macroeconomic models as an extension to the EBA procedure

Edwards, Jeffrey A. (contributor); Sams, Alfred (contributor) - In: Topics in macroeconomics 6 (2006) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10003386064

Robustness

Hansen, Lars Peter; Sargent, Thomas J. - 2008

making. The main motivation behind the proposed approach is that concern about model misspecification in economics leads to … such problems were discussed). 2. Representation of worst-case shock based on reformulation of misspecification …

Persistent link: https://www.econbiz.de/10003539380

Algorithms for statistical model selection and robust estimation

Hofmann, Marc - 2009

Persistent link: https://www.econbiz.de/10003946468

Fear of model misspecification and the robustness premium

Angelopulos, Kōnstantinos I.; Malley, James R. - 2010

Persistent link: https://www.econbiz.de/10008659388

Improving forecasting performance by window and model averaging

Bhattacharya, Prasad S.; Thomakos, Dimitrios D. - 2011

This study presents extensive results on the benefits of rolling window and model averaging. Building on the recent work on rolling window averaging by Pesaran et al (2010, 2009) and on exchange rate forecasting by Molodtsova and Papell (2009), we explore whether rolling window averaging can be...