Search Results - subject:"Conﬁdence set"

A nonparametric approach to forecasting realized volatility

Clements, Adam; Becker, Ralf - National Centre for Econometric Research (NCER) - 2009

confidence set, nonparametric JEL Classification Numbers C22, G00. Corresponding author Adam Clements School of Economics and … the sum of squared residuals in equation (6). 3.3 Evaluating volatility forecasts The Model Confidence Set approach (MCS …., Lunde, A. and Nason, J. (2003), ”Choosing the best volatility models: the model confidence set approach”, Oxford Bulletin of …

Persistent link: https://www.econbiz.de/10005036160

Evaluating multivariate volatility forecasts

Clements, Adam; Doolan, Mark; Hurn, Stan; Becker, Ralf - National Centre for Econometric Research (NCER) - 2009

The performance of techniques for evaluating univariate volatility forecasts are well understood. In the multivariate setting however, the efficacy of the evaluation techniques is not developed. Multivariate forecasts are often evaluated within an economic application such as portfolio...

Persistent link: https://www.econbiz.de/10005635667

On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models

Laurent, Sébastien; Rombouts, Jeroen V.K.; Violante, … - Centre Interuniversitaire sur le Risque, les Politiques … - 2009

A large number of parameterizations have been proposed to model conditional variance dynamics in a multivariate framework. However, little is known about the ranking of multivariate volatility models in terms of their forecasting ability. The ranking of multivariate volatility models is...

Persistent link: https://www.econbiz.de/10008567826

On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models

Laurent, Sébastien; Rombouts, Jeroen; Violente, Francesco - Centre Interuniversitaire de Recherche en Analyse des … - 2009

Persistent link: https://www.econbiz.de/10008574654

Bootstraping econometric models

Davidson, Russell - HAL - 2009

The bootstrap is a statistical technique used more and more widely in econometrics. While it is capable of yielding very reliable inference, some precautions should be taken in order to ensure this. Two “Golden Rules” are formulated that, if observed, help to obtain the best the bootstrap...

Persistent link: https://www.econbiz.de/10008794309

Environmental Kuznets curve : tipping points, uncertainty and weak identification

Bernard, Jean-Thomas; Gavin, Michael; Khalaf, Lynda; … - In: Environmental & resource economics : the official … 60 (2015) 2, pp. 285-315

Persistent link: https://www.econbiz.de/10010483449

Selecting volatility forecasting models for portfolio allocation purposes

Becker, Ralf; Clements, Adam; Doolan, M. B.; Hurn, Stan - In: International journal of forecasting 31 (2015) 3, pp. 849-861

Persistent link: https://www.econbiz.de/10011474597

Constructing a new leading indicator for unemployment from a survey among German employment agencies

Hutter, Christian; Weber, Enzo - In: Applied economics 47 (2015) 31/33, pp. 3540-3558

Persistent link: https://www.econbiz.de/10011293512

Forecasting GDP at the regional level with many predictors

Lehmann, Robert; Wohlrabe, Klaus - In: German economic review 16 (2015) 2, pp. 226-254

Persistent link: https://www.econbiz.de/10011385634

Inference on sets in finance

Chernozhukov, Victor; Kocatulum, Emre; Menzel, Konrad - In: Quantitative economics : QE ; journal of the … 6 (2015) 2, pp. 309-358

Persistent link: https://www.econbiz.de/10011343757