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Modeling and Forecasting a Firm's Financial Statements with a VAR-VECM Model

Doornik, Bernardus Ferdinandus Nazar Van; de Medeiros, … - 2009

This paper details efforts at developing and estimating a Vector Autoregressive (VAR) econometric model representative of the financial statements of a firm. Although the model can be generalized to represent the financial statements of any firm, this work was carried out as a case study, where...

Persistent link: https://www.econbiz.de/10014211147

Industry and Time Specific? An Examination of Bankruptcy Forecasting

Cooksley, Ben - 2016

The purpose of this research is to determine whether bankruptcy forecasting models are subject to industry and time specific effects. A sample of 15,848 firms was obtained from the Compustat and CRSP databases, spanning the time period 1950 to 2013, of which 396 were bankrupt. Using five models...

Persistent link: https://www.econbiz.de/10013000033

Forecast-error-based estimation of forecast uncertainty when the horizon is increased

Knüppel, Malte - In: International journal of forecasting 34 (2018) 1, pp. 105-116

Persistent link: https://www.econbiz.de/10012030847

Combined Density Nowcasting in an Uncertain Economic Environment

Aastveit, Knut Are - 2014

We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...

Persistent link: https://www.econbiz.de/10013040417

Forecast-Error-Based Estimation of Forecast Uncertainty When the Horizon is Increased

Knüppel, Malte - 2016

(2014) in order to relax the condition on the data structure required for the SUR estimator to be independent from unknown … quantities. It turns out that the SUR estimator of forecast uncertainty tends to deliver large e¢ ciency gains compared to the … OLS estimator (i.e. the sample mean of the squared forecast errors) in the case of increased forecast horizons. The SUR …

Persistent link: https://www.econbiz.de/10012988712

Combined Density Nowcasting in an Uncertain Economic Environment

Aastveit, Knut Are - 2015

Persistent link: https://www.econbiz.de/10013023300

Combined density nowcasting in an uncertain economic environment

Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - 2014

Persistent link: https://www.econbiz.de/10010465155

Forecasting limit order book liquidity supply-demand curves with functional AutoRegressive dynamics

Chen, Ying; Chua, Wee Song; Härdle, Wolfgang - 2016

Limit order book contains comprehensive information of liquidity on bid and ask sides. We propose a Vector Functional AutoRegressive (VFAR) model to describe the dynamics of the limit order book and demand curves and utilize the tted model to predict the joint evolution of the liquidity demand...

Persistent link: https://www.econbiz.de/10011518802

Factor GARCH-ITO Models for High-Frequency Data with Application to Large Volatility Matrix Prediction

Kim, Donggyu - 2017

Several novel large volatility matrix estimation methods have been developed based on the high-frequency financial data. They often employ the approximate factor model that leads to a low-rank plus sparse structure for the integrated volatility matrix and facilitates estimation of large...

Persistent link: https://www.econbiz.de/10012941598

Forecasting Limit Order Book Liquidity Supply-Demand Curves with Functional Autoregressive Dynamics

Chen, Ying - 2017

We develop a dynamic model to simultaneously characterize the liquidity demand and supply in limit order book. The joint dynamics is modelled in a unified Vector Functional AutoRegressive (VFAR) framework. We derive a closed-form maximum likelihood estimator under sieves and establish asymptotic...

Persistent link: https://www.econbiz.de/10012968564