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  • Search: subject:"Model confidence set"
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Year of publication
Subject
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Prognoseverfahren 65 Forecasting model 64 model confidence set 59 Model confidence set 47 Volatility 37 ARCH model 33 ARCH-Modell 33 Volatilität 32 Theorie 27 Theory 26 Estimation theory 24 Schätztheorie 24 Zeitreihenanalyse 20 Time series analysis 19 Model Confidence Set 18 Modellierung 16 Scientific modelling 16 MGARCH 15 Portfolio selection 15 Portfolio-Management 15 Estimation 11 Schätzung 11 Statistical test 11 Statistischer Test 11 Forecasting 10 Risikomaß 10 Risk measure 10 Correlation 9 Covariance forecasting 9 Forecast 9 Korrelation 9 Prognose 9 forecast evaluation 9 model comparison 9 model ranking 9 Capital income 8 Kapitaleinkommen 8 forecasting 8 Aktienmarkt 7 Artificial intelligence 7
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Online availability
All
Free 64 Undetermined 52 CC license 1
Type of publication
All
Article 65 Book / Working Paper 61
Type of publication (narrower categories)
All
Article in journal 58 Aufsatz in Zeitschrift 58 Working Paper 22 Arbeitspapier 14 Graue Literatur 14 Non-commercial literature 14 Article 1 Hochschulschrift 1 Thesis 1
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Language
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English 92 Undetermined 31 Portuguese 3
Author
All
Caporin, Massimiliano 15 McAleer, Michael 15 Clements, Adam 6 Lehmann, Robert 5 Stentoft, Lars 5 Wohlrabe, Klaus 5 Becker, Ralf 4 Hutter, Christian 4 Koopman, Siem Jan 4 Laurent, Sébastien 4 Rombouts, Jeroen V.K. 4 Scharth, Marcel 4 Violante, Francesco 4 Weber, Enzo 4 Alfarano, Simone 3 Bauwens, Luc 3 Braione, Manuela 3 Caporin, M. 3 Degiannakis, Stavros 3 Doman, Ryszard 3 Hurn, Stan 3 Lucas, Andre 3 McAleer, M.J. 3 Milaković, Mishael 3 Mundt, Philipp 3 Rombouts, Jeroen 3 Storti, Giuseppe 3 Barde, Sylvain 2 Bernardi, Mauro 2 Catania, Leopoldo 2 Ceci, Donato 2 Cerqueira, Daniel 2 Cummins, Mark 2 Doman, Małgorzata 2 Doolan, M. B. 2 Doolan, Mark 2 Esposito, Francesco 2 Filis, George 2 Lins, Gabriel de Oliveira Accioly 2 Liu, Jing 2
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Institution
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School of Economics and Management, University of Aarhus 5 Department of Economics and Finance, College of Business and Economics 4 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 4 Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain 3 Erasmus University Rotterdam, Econometric Institute 3 Institute of Economic Research, Kyoto University 3 National Centre for Econometric Research (NCER) 3 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 2 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 2 Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 2 Dipartimento di Scienze Economiche "Marco Fanno", Università degli Studi di Padova 1 Dipartimento di Scienze Economiche e Aziendali, Università degli Studi di Pavia 1 Norges Bank 1 Tinbergen Institute 1 Tinbergen Instituut 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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Published in...
All
International journal of forecasting 9 CREATES Research Papers 5 Journal of forecasting 5 Applied economics 4 Econometric Institute Research Papers 4 Finance research letters 4 Journal of empirical finance 4 Working Papers in Economics 4 CORE Discussion Papers 3 Econometric Institute Report 3 Energy economics 3 KIER Working Papers 3 NCER Working Paper Series 3 CIRANO Working Papers 2 Cahiers de recherche 2 Documentos de Trabajo del ICAE 2 Economic modelling 2 International Journal of Forecasting 2 Journal of banking & finance 2 Journal of financial econometrics : official journal of the Society for Financial Econometrics 2 NCER working paper series 2 The energy journal 2 Tinbergen Institute Discussion Papers 2 Working papers 2 "Marco Fanno" Working Papers 1 ASTIN bulletin : the journal of the International Actuarial Association 1 Annals of economics and statistics 1 Annals of finance 1 Applied Economics 1 Applied economics letters 1 BERG Working Paper Series 1 BERG working paper series 1 CORE discussion papers : DP 1 Computational Statistics & Data Analysis 1 Computational economics 1 DEM Working Papers Series 1 Discussion Papers in Economics 1 Discussion paper / Tinbergen Institute 1 Discussion papers / University of Kent, School of Economics 1 Dynamic Econometric Models 1
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Source
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ECONIS (ZBW) 73 RePEc 43 EconStor 9 BASE 1
Showing 41 - 50 of 126
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Forecasting value at risk and expected shortfall with mixed data sampling
Trung Hai Le - In: International journal of forecasting 36 (2020) 4, pp. 1362-1379
Persistent link: https://www.econbiz.de/10012546780
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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
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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
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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
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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
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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
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A fast algorithm for finding the confidence set of large collections of models
Barde, Sylvain - 2015
later point in time, thus enabling collaborative efforts using the model confidence set procedure. …
Persistent link: https://www.econbiz.de/10011445301
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A fast algorithm for finding the confidence set of large collections of models
Barde, Sylvain - 2015
later point in time, thus enabling collaborative efforts using the model confidence set procedure. …
Persistent link: https://www.econbiz.de/10011342917
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Predicting bond betas using macro-finance variables
Aslanidis, Nektarios; Christiansen, Charlotte; … - In: Finance research letters 29 (2019), pp. 193-199
Persistent link: https://www.econbiz.de/10012418702
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On tail fatness of macroeconomic dynamics
Liu, Xiaochun - In: Journal of macroeconomics 62 (2019), pp. 1-18
Persistent link: https://www.econbiz.de/10012243478
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