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Performance evaluation of judgemental directional exchange rate predictions
Pollock, Andrew C.; Macaulay, Alex; Thomson, Mary E.; … - 2005
A procedure is proposed for examining different aspects of performance for judgemental directional probability predictions of exchange rate movements. In particular, a range of new predictive performance measures is identified to highlight specific expressions of strengths and weaknesses in...
Persistent link: https://www.econbiz.de/10009435350
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The influence of the forecast horizon on judgemental probability forecasts of exchange rate movements
Thomson, Mary E.; Pollock, Andrew C.; Henriksen, Karen B.; … - 2004
An experiment is reported which compares directional forecasting performance of experts, novices and simple statistical …
Persistent link: https://www.econbiz.de/10009435351
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Crude Oil Prices; Trends and Forecast
Krichene, Noureddine - International Monetary Fund (IMF) - 2008
. Short-term forecasting would imply persistence of observed trends, as market fundamentals and underlying monetary policies …
Persistent link: https://www.econbiz.de/10005825666
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Currency Mismatches and Corporate Default Risk; Modeling, Measurement, and Surveillance Applications
Santos, Andre; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006
Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure. The proposed...
Persistent link: https://www.econbiz.de/10005826571
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Recent Advances in Credit Risk Modeling
Gasha, Jose Giancarlo; Santos, Andre; Chan-Lau, Jorge A.; … - International Monetary Fund (IMF) - 2009
As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for...
Persistent link: https://www.econbiz.de/10008528651
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Benchmark Priors Revisited:on Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging
Feldkircher, Martin; Zeugner, Stefan - International Monetary Fund (IMF) - 2009
Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and proposes to address it by a hyper-g prior, whose data-dependent shrinkage adapts...
Persistent link: https://www.econbiz.de/10008559278
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A calibration procedure for analyzing stock price dynamics in an agent-based framework
Recchioni, Maria Cristina; Tedeschi, Gabriele; … - 2014
forecasting. To further improve the forecasting, we modify our calibration approach by increasing the trader information set …In this paper we introduce a calibration procedure for validating of agent based models. Starting from the well …-known financial model of Brock and Hommes 1998, we show how an appropriate calibration enables the model to describe price time series …
Persistent link: https://www.econbiz.de/10010463489
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A calibration procedure for analyzing stock price dynamics in an agent-based framework
Recchioni, Maria Cristina; Tedeschi, Gabriele; … - In: Journal of economic dynamics & control 60 (2015), pp. 1-25
Persistent link: https://www.econbiz.de/10011575069
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Cheap talk and credibility : the consequences of confidence and accuracy on advisor credibility and persuasiveness
Sah, Sunita; Moore, Don A.; MacCoun, Robert J. - In: Organizational behavior and human decision processes : … 121 (2013) 2, pp. 246-255
Persistent link: https://www.econbiz.de/10009757823
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Known unknowns : a critical determinant of confidence and calibration
Walters, Daniel J.; Fernbach, Philip M.; Fox, Craig R.; … - In: Management science : journal of the Institute for … 63 (2017) 12, pp. 4298-4307
Persistent link: https://www.econbiz.de/10011785258