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Dynamic model averaging in large model spaces using dynamic Occam's window

Onorante, Luca; Raftery, Adrian E. - In: European economic review : EER 81 (2016), pp. 2-14

Persistent link: https://www.econbiz.de/10011742038

On a quest for robustness : about model risk, randomness and discretion in credit risk stress tests

Siemsen, Thomas; Vilsmeier, Johannes - 2018

probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress … testing applications due to short time series for banks' portfolio risk parameters and highly collinear macroeconomic … distributions and implied capital shortfalls by conducting a full-edged top-down credit risk stress test for over 1,500 German banks …

Persistent link: https://www.econbiz.de/10011897976

Chapter 8 Growth Econometrics

Durlauf, Steven N.; Johnson, Paul A.; Temple, Jonathan R.W. - 2005

This paper provides a survey and synthesis of econometric tools that have been employed to study economic growth. While these tools range across a variety of statistical methods, they are united in the common goals of first, identifying interesting contemporaneous patterns in growth data and...

Persistent link: https://www.econbiz.de/10014023779

Mortality forecasting using stacked regression ensembles

Kessy, Salvatory R.; Sherris, Michael; Villegas, Andrés M. - In: Scandinavian actuarial journal 2022 (2022) 7, pp. 591-626

Persistent link: https://www.econbiz.de/10013370726

Terrorism determinants, model uncertainty and space in Colombia

Sanso-Navarro, Marcos; Sanz, Fernando; Vera-Cabello, María - In: Defence and peace economics 34 (2023) 1, pp. 92-111

Persistent link: https://www.econbiz.de/10013549855

Model error (or ambiguity) and its estimation, with particular application to loss reserving

Taylor, Greg; Mc Guire, Gráinne - In: Risks : open access journal 11 (2023) 11, pp. 1-28

This paper is concerned with the estimation of forecast error, particularly in relation to insurance loss reserving. Forecast error is generally regarded as consisting of three components, namely parameter, process and model errors. The first two of these components, and their estimation, are...

Persistent link: https://www.econbiz.de/10014435599