This Working Paper presents some preliminary results for a new goodness-of- t method for VARMA(p,q) models. Relations between least squares residuals and true errors are re-examined, and a new family of statistics is proposed. A new goodness-of- t process is also suggested, that can be seen as...

In this work, a new variant of the Capacitated Vehicle Routing Problem (CVRP) is presented where the vehicles cannot perform any route leg longer than a given length L (although the routes can be longer). Thus, once a route leg length is close to L, the vehicle must go to a stop node to end the...

This paper focuses on providing consistent forecasts for an aggregate economic indicator, such as a consumer price index, and all its components, and on showing that the indirect forecast of the aggregate is at least as accurate as the direct forecast. The procedure developed is a disaggregated...

Shrinkage estimators is an area widely studied in statistics. In this paper, we contemplate the role of shrinkage estimators on the construction of the investor's portfolio. We study the performance of shrinking the sample moments to estimate portfolio weights as well as the performance of...

Credit ratings are ordinal predictions for the default risk of an obligor. To evaluate the accuracy of such predictions commonly used measures are the Accuracy Ratio or, equivalently, the Area under the ROC curve. The disadvantage of these measures is that they treat default as a binary variable...

In credit default prediction models, the need to deal with time-varying covariates often arises. For instance, in the context of corporate default prediction a typical approach is to estimate a hazard model by regressing the hazard rate on time-varying covariates like balance sheet or stock...

This paper investigates a selection of methods disentangling contributions from price jumps to realized variance. Flat prices (consecutively sampled prices in calendar time with the same value) and no trading (no price observation at sampling points), both frequently occurring stylized facts in...

In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which are based on statistical methods with the out-of-sample performance of a family of trivial strategies. A wide range of approaches is considered in this work, including the...

Trimmed regions are a powerful tool of multivariate data analysis. They describe a probability distribution in Euclidean d-space regarding location, dispersion, and shape, and they order multivariate data with respect to their centrality. Dyckerhoff and Mosler (201x) have introduced the class of...

It is well known that the correlation between financial series varies over time. Here, the forecasting performance of different time-varying correlation models is compared for cross-country correlations of weekly G5 and daily European stock market indices. In contrast to previous studies only...