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Employing Machine Learning Algorithms to build Trading Strategies with higher than Risk-Free Returns
Uzunlu, Baris Yalin; Hussain, Syed Muzammil - In: International Econometric Review (IER) 12 (2020) 2, pp. 112-138
This research aims at exploring whether simple trading strategies developed using state-ofthe-art Machine Learning (ML) algorithms can guarantee more than the risk-free rate of return or not. For this purpose, the direction of S&P 500 Index returns on every 6th day (SPYRETDIR6) and magnitude of...
Persistent link: https://www.econbiz.de/10012610982
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Um modelo para projeção de arrecadação tributária dos entes subnacionais
De Mendonça, Mário Jorge Cardoso; Do Nascimento, Igor … - 2022
The forecasting of government revenues is extremely important for an adequate budget execution, since a good accuracy …
Persistent link: https://www.econbiz.de/10013400244
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Forecasting Spanish unemployment with Google Trends and dimension reduction techniques
Mulero, Rodrigo; Garcia-Hiernaux, Alfredo - In: SERIEs - Journal of the Spanish Economic Association 12 (2021) 3, pp. 329-349
variables or which ones to use. The results of a recursive forecasting exercise reveal a statistically significant increase in …
Persistent link: https://www.econbiz.de/10014496096
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The Forecasting Performance of an Estimated Medium Run Model
Kitlinski, Tobias; Schmidt, Torsten - 2011
using Bayesian estimation methods. As forecasting benchmarks we take the Smets-Wouters model (2007) and a VAR model. The …
Persistent link: https://www.econbiz.de/10010287409
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Model Specification and Inflation Forecast Uncertainty
Bårdsen, Gunnar; Jansen, Eilev S.; Nymoen, Ragnar - 2001
Competition models. Their relative merits in explaining and forecasting inflation are investigated theoretically and empirically … successful inflation forecasting. …
Persistent link: https://www.econbiz.de/10012143568
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Evaluating Ensemble Density Combination - Forecasting GDP and Inflation
Gerdrup, Karsten R.; Jore, Anne Sofie; Smith, Christie; … - 2009
Forecast combination has become popular in central banks as a means to improve forecasts and to alleviate the risk of selecting poor models. However, if a model suite is populated with many similar models, then the weight attached to other independent models may be lower than warranted by their...
Persistent link: https://www.econbiz.de/10012143724
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Taking the temperature: forecasting GDP growth for mainland in China
Curran, Declan; Funke, Michael - 2006
provides an appropriate tool for forecasting Chinese business conditions. …
Persistent link: https://www.econbiz.de/10012148509
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Forecasting Spanish unemployment with Google Trends and dimension reduction techniques
Mulero, Rodrigo; Garcia-Hiernaux, Alfredo - In: SERIEs : Journal of the Spanish Economic Association 12 (2021) 3, pp. 329-349
variables or which ones to use. The results of a recursive forecasting exercise reveal a statistically significant increase in …
Persistent link: https://www.econbiz.de/10012612549
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Employing machine learning algorithms to build trading strategies with higher than risk-free returns
Uzunlu, Baris Yalin; Hussain, Syed Muzammil - In: International econometric review 12 (2020) 2, pp. 112-138
This research aims at exploring whether simple trading strategies developed using state-ofthe-art Machine Learning (ML) algorithms can guarantee more than the risk-free rate of return or not. For this purpose, the direction of S&P 500 Index returns on every 6th day (SPYRETDIR6) and magnitude of...
Persistent link: https://www.econbiz.de/10012432999
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ALICE : a new inflation monitoring tool
Bondt, Gabe J. de; Hahn, Elke; Zekaite, Zivile - 2018
the beginning of 2018. They also have performed well in forecasting the direction of inflation. In terms of the …
Persistent link: https://www.econbiz.de/10011901421