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The impact of estimation error on latent factor model forecasts of portfolio risk

Bianchi, Stephen W.; Goldberg, Lisa; Rosenberg, Allan - In: The journal of portfolio management : a publication of … 43 (2017) 5, pp. 147-156

Persistent link: https://www.econbiz.de/10011686352

The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk

Bianchi, Stephen - 2019

In this article, the authors measure the impact of estimation error on latent factor model forecasts of portfolio risk … find that an estimation period of 250 days may be adequate to accurately forecast risk and factor exposures for an equally … an estimation period of 1000 days. This underscores the importance of testing risk models on optimized portfolios …

Persistent link: https://www.econbiz.de/10012903199

Improving GDP measurement : a measurement-error perspective

Aruoba, S. Borağan; Diebold, Francis X.; Nalewaik, Jeremy - In: Journal of econometrics 191 (2016) 2, pp. 384-397

Persistent link: https://www.econbiz.de/10011610607

Mismeasured and unobserved variables

Schennach, Susanne M. - 2020

Persistent link: https://www.econbiz.de/10012392237

Threshold mixed data sampling (TMIDAS) regression models with an application to GDP forecast errors

Yang, Lixiong - In: Empirical economics : a quarterly journal of the … 62 (2022) 2, pp. 533-551

Persistent link: https://www.econbiz.de/10012819480

Rolling window selection for out-of-sample forecasting with time-varying parameters

Inoue, Atsushi; Lu, Jin; Rossi, Barbara - In: Journal of econometrics 196 (2017) 1, pp. 55-67

Persistent link: https://www.econbiz.de/10011743498

The impact of integrated measurement errors on modelling long-run macroeconomic time series

Duffy, James A.; Hendry, David F. - 2017

Persistent link: https://www.econbiz.de/10011630053

Measurement errors and monetary policy : then and now

Amir Ahmadi, Pooyan; Matthes, Christian; Wang, Mu-Chun - In: Journal of economic dynamics & control 79 (2017), pp. 66-78

Persistent link: https://www.econbiz.de/10011817602

Estimating a DSGE model for Japan in a data-rich environment

Iiboshi, Hirokuni; Matsumae, Tatsuyoshi; Namba, Ryoichi; … - In: Journal of the Japanese and international economies : … 36 (2015), pp. 25-55

Persistent link: https://www.econbiz.de/10011380592

Time-Varying Realized GARCH Models for Tracking Measurement Error Bias in Volatility Forecasting

Gerlach, Richard H. - 2020

This paper proposes novel approaches to the modeling of attenuation bias effects in volatility forecasting. Our strategy relies on suitable generalizations of the Realized GARCH model by Hansen et al. (2012) where the impact of lagged realized measures on the current conditional variance is...

Persistent link: https://www.econbiz.de/10012839665