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Online Forecast Combination for Dependent Heterogeneous Data

Sancetta, A. - Faculty of Economics, University of Cambridge - 2007

This paper studies a procedure to combine individual forecasts that achieve theoretical optimal performance. The results apply to a wide variety of loss functions and no conditions are imposed on the data sequences and the individual forecasts apart from a tail condition. The theoretical results...

Persistent link: https://www.econbiz.de/10005783740

Universality of Bayesian Predictions

Sancetta, A. - Faculty of Economics, University of Cambridge - 2007

Given the sequential update nature of Bayes rule, Bayesian methods find natural application to prediction problems …. Advances in computational methods allow to routinely use Bayesian methods in econometrics. Hence, there is a strong case for … feasible predictions in a Bayesian framework. This paper studies the theoretical properties of Bayesian predictions and shows …

Persistent link: https://www.econbiz.de/10005783751

Volatility Forecasting: The Jumps Do Matter

Corsi, Fulvio; Pirino, Davide; Reno, Roberto - Institute of Economic Research, Hitotsubashi University - 2009

This study reconsiders the role of jumps for volatility forecasting by showing that jumps have a positive and mostly significant impact on future volatility. This result becomes apparent once volatility is correctly separated into its continuous and discontinuous component. To this purpose, we...

Persistent link: https://www.econbiz.de/10005784004

Türkiye’de döviz kuru oynaklığının uzun hafiza özelliklerinin analizi

TÜRKYILMAZ, Serpil; ÖZER, Mustafa - In: Iktisat Isletme ve Finans 22 (2007) 259, pp. 99-113

Bu çalışmanın amacı, döviz kurunun ortalama ve oynaklığındaki (volatilitesindeki) uzun hafıza özelliklerini incelemektir. Çalışma, 01.01.2002 - 30.11.2005 dönemi için döviz kuru günlük getirileri kullanılarak kesirli ARIMA (ARFIMA) ve kesirli bütünleşik GARCH (FIGARCH)...

Persistent link: https://www.econbiz.de/10005784089

Endeks getirilerinin yapay sinir agları modelleri ile tahmin edilmesi: Gelismekte olan Avrupa borsaları uygulaması

AVCI, Emin; ÇİNKO, Murat - In: Iktisat Isletme ve Finans 23 (2008) 266, pp. 114-137

Çalısmamızda yapay sinir agları (YSA) modellerinin 6 gelismekte olan ülke, ki bu ülkeler Avrupa Toplulugu’nun 5 yeni üyesi ve biri aday ülkeden olusmaktadır, borsalarındaki günlük endeks getirilerini tahmin etmedeki etkinligi incelenmistir. Çalısmanın bulguları göstermistir ki...

Persistent link: https://www.econbiz.de/10005784178

Local Lyapunov exponents: Zero plays no role in Forecasting chaotic systems

Guégan, Dominique; Leroux, Justin - Institut d'Économie Appliquée, HEC Montréal (École … - 2008

We propose a novel methodology for forecasting chaotic systems which uses information on local Lyapunov exponents (LLEs) to improve upon existing predictors by correcting for their inevitable bias. Using simulated data on the nearest-neighbor predictor, we show that accuracy gains can be...

Persistent link: https://www.econbiz.de/10005784548

Banking Passivity And Regulatory Failure In Emerging Markets: Theory And Evidence From The Czech Republic.

Hanousek, Jan; Roland, Gerard - William Davidson Institute, University of Michigan - 2001

We present a model of bank passivity and regulatory failure. Banks with low equity positions have more incentives to be passive in liquidating bad loans. We show that they tend to hide distress from regulatory authorities and are ready to offer a higher rate of interest in order to attract...

Persistent link: https://www.econbiz.de/10005784685

Is more data better?

Mitra, Kaushik - Department of Economics, Royal Holloway University of London - 2004

Conventional wisdom usually suggests that agents should use all the data they have to make the best possible prediction. In this paper, it is shown that agents may make better predictions by discarding old data if their model is mis-specified. The applicability of the results to some economic...

Persistent link: https://www.econbiz.de/10005784824

Forecasting temperature indices with timevarying long-memory models

Caporin, Massimiliano; Pres, Juliusz - Dipartimento di Scienze Economiche "Marco Fanno", … - 2008

The hedging of weather risks has become extremely relevant in recent years, promoting the diffusion of weather derivative contracts. The pricing of such contracts require the development of appropriate models for the prediction of the underlying weather variables. Within this framework, we...

Persistent link: https://www.econbiz.de/10005786760

Method of the exponential adjustement using directly the terms of the empiric series in the analysis of the dynamics of the textile confections production

Racoceanu, Constantin - Volkswirtschaftliche Fakultät, … - 2006

In a simple form, the basic relationship that can be used while exponential neat, is given by the expression: (for t ≥ 2) Where: St = the adjusted values of the dynamic series; yt = the levels of the empiric series; St-1 = the adjusted value of the term t – 1; w = a constant of adjustment...

Persistent link: https://www.econbiz.de/10005786885