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Forecasting VARs, model selection, and shrinkage

Kascha, Christian; Trenkler, Carsten - 2015

- depending on the employed shrinkage method. …

Persistent link: https://www.econbiz.de/10011491851

Forecasting the returns of cryptocurrency : a model averaging approach

Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 13 (2020) 11/278, pp. 1-15

estimators to explain the cryptocurrencies´ returns. We further introduce a novel model averaging approach or the shrinkage …

Persistent link: https://www.econbiz.de/10012388749

Forecasting macroeconomic variables in data-rich environments

Medeiros, Marcelo C.; Vasconcelos, Gabriel F. R. - In: Economics letters 138 (2016), pp. 50-52

Persistent link: https://www.econbiz.de/10011615474

Machine learning for regularized survey forecast combination : partially-egalitarian LASSO and its derivatives

Diebold, Francis X.; Shin, Minchul - In: International journal of forecasting 35 (2019) 4, pp. 1679-1691

Persistent link: https://www.econbiz.de/10012305515

Forecasting foreign exchange markets using Google trends : prediction performance of competing models

Wilcoxson, Jordan; Follett, Lendie; Severe, Sean - In: The journal of behavioral finance : a publication of … 21 (2020) 4, pp. 412-422

Persistent link: https://www.econbiz.de/10012312346

Forecasting Brazilian inflation with high dimensional models

Medeiros, Marcelo C.; Vasconcelos, Gabriel F. R.; … - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 2, pp. 223-254

Persistent link: https://www.econbiz.de/10011644505

Model selection and shrinkage : an overview

Caner, Mehmet; Medeiros, Marcelo C. - In: Econometric reviews 35 (2016) 8/10, pp. 1343-1346

Persistent link: https://www.econbiz.de/10011592330

On tuning parameter selection in model selection and model averaging : a Monte Carlo study

Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 12 (2019) 3/109, pp. 1-16

to supplement the literature by studying the class of OLS post-selection estimators. Inspired by the shrinkage averaging … estimator (SAE) and the Mallows model averaging (MMA) estimator, we further propose a shrinkage MMA (SMMA) estimator for …

Persistent link: https://www.econbiz.de/10012025275

Economic predictions with big data : the illusion of sparsity

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - 2018

deal with a large number of possible predictors, we specify a prior that allows for both variable selection and shrinkage …

Persistent link: https://www.econbiz.de/10011824834

Beating the simple average : egalitarian LASSO for combining economic forecasts

Diebold, Francis X.; Shin, Minchul - 2017

Persistent link: https://www.econbiz.de/10011770567