Search Results - subject:"Conﬁdence set"

Forecasting crude oil and refined products volatilities and correlations : new evidence from fractionally integrated multivariate GARCH models

Marchese, Malvina; Kyriakou, Ioannis; Tamvakis, Michael; … - In: Energy economics 88 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012516745

Forecasting volatility in bitcoin market

Segnon, Mawuli; Bekiros, Stelios - In: Annals of finance 16 (2020) 3, pp. 435-462

Persistent link: https://www.econbiz.de/10012496404

A Model Confidence Set approach to the combination of multivariate volatility forecasts

Amendola, Alessandra; Braione, Manuela; Candila, Vincenzo; … - In: International journal of forecasting 36 (2020) 3, pp. 873-891

Persistent link: https://www.econbiz.de/10012496876

Exploiting ergodicity in forecasts of corporate profitability

Mundt, Philipp; Alfarano, Simone; Milaković, Mishael - In: Journal of economic dynamics & control 111 (2020), pp. 1-28

Persistent link: https://www.econbiz.de/10012501441

Generic results for establishing the asymptotic size of confidence sets and tests

Andrews, Donald W. K.; Cheng, Xu; Guggenberger, Patrik - In: Journal of econometrics 218 (2020) 2, pp. 496-531

Persistent link: https://www.econbiz.de/10012483169

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

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

to potential competitors we employ the model confidence set. Results reveal that models including the new indicator …

Persistent link: https://www.econbiz.de/10013349233

A fast algorithm for finding the confidence set of large collections of models

Barde, Sylvain - 2015

The paper proposes a new algorithm for finding the confidence set of a collection of forecasts or prediction models …. Existing numerical implementations for finding the confidence set use an elimination approach where one starts with the full … complexity and memory cost of finding the confidence set of a collection of M models, falling respectively from O(M^3;) to O(M^2 …

Persistent link: https://www.econbiz.de/10011445301

Inference on sets in finance

Chernozhukov, Victor; Kocatulum, Emre; Menzel, Konrad - In: Quantitative Economics 6 (2015) 2, pp. 309-358

We consider the problem of inference on a class of sets describing a collection of admissible models as solutions to a single smooth inequality. Classical and recent examples include the Hansen–Jagannathan sets of admissible stochastic discount factors, Markowitz–Fama mean–variance sets...

Persistent link: https://www.econbiz.de/10011599678

Identification- and Singularity-Robust Inference for Moment Condition

Andrews, Donald W. K.; Guggenberger, Patrik - Cowles Foundation for Research in Economics, Yale University - 2015

This paper introduces two new identification- and singularity-robust conditional quasi-likelihood ratio (SR-CQLR) tests and a new identification- and singularity-robust Anderson and Rubin (1949) (SR-AR) test for linear and nonlinear moment condition models. The paper shows that the tests have...

Persistent link: https://www.econbiz.de/10011107241

Inference based on many conditional moment inequalities

Andrews, Donald W. K.; Shi, Xiaoxia - 2015

Persistent link: https://www.econbiz.de/10011312305