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Impact of combination methods on extreme precipitation projections

Jessup, Sébastien; Mailhot, Mélina; Pigeon, Mathieu - In: Annals of actuarial science 17 (2023) 3, pp. 459-478

Persistent link: https://www.econbiz.de/10014436784

Global and local components of output gaps

Eckert, Florian; Mühlebach, Nina - In: Empirical economics : a quarterly journal of the … 65 (2023) 5, pp. 2301-2331

Persistent link: https://www.econbiz.de/10014388930

Machine learning private equity returns

Tausch, Christian; Pietz, Marcus - In: The Journal of finance and data science : JFDS 10 (2024), pp. 1-22

capital fund segments. First, we propose Stochastic Discount Factor (SDF) model combination to determine the public factor … exposure of private equity. Here, we describe our theoretical motivation to favor model combination over model selection. This …

Persistent link: https://www.econbiz.de/10015454387

Forecasting the risk of cryptocurrencies : comparison and combination of garch and stochastic volatility models

Prüser, Jan - In: Journal of time series econometrics 16 (2024) 2, pp. 83-108

Persistent link: https://www.econbiz.de/10015117682

Global and local components of output gaps

Eckert, Florian; Mühlebach, Nina - 2021

This paper proposes a multi-level dynamic factor model to identify common components in output gap estimates. We pool multiple output gap estimates for 157 countries and decompose them into one global, eight regional, and 157 country-specific cycles. Our approach easily deals with mixed...

Persistent link: https://www.econbiz.de/10012888677