Search Results - subject:"Optimal weights"

Forecasting Markov switching vector autoregressions : evidence from simulation and application

Cavicchioli, Maddalena - In: Journal of forecasting 44 (2025) 1, pp. 136-152

Persistent link: https://www.econbiz.de/10015374001

Optimal forecast combination with mean absolute error loss

Chan, Felix; Pauwels, Laurent - 2023

Persistent link: https://www.econbiz.de/10014432760

Discovering interlinkages between major cryptocurrencies using high-frequency data: New evidence from COVID-19 pandemic

Yousaf, Imran; Ali, Shoaib - In: Financial Innovation 6 (2020) 1, pp. 1-18

period and the COVID-19 period. We also estimate the optimal weights, hedge ratios, and hedging effectiveness during both … cryptocurrencies are observed to be higher during the COVID-19 period compared to the pre-COVID-19 period. Based on optimal weights …

Persistent link: https://www.econbiz.de/10012602874

Return and volatility transmission between world-leading and Latin American stock markets: Portfolio implications

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of Risk and Financial Management 13 (2020) 7, pp. 1-19

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese stock market of 2015. Regarding return...

Persistent link: https://www.econbiz.de/10012611377

Discovering interlinkages between major cryptocurrencies using high‑frequency data : new evidence from COVID‑19 pandemic

Yousaf, Imran; Ali, Shoaib - In: Financial innovation : FIN 6 (2020) 45, pp. 1-18

Persistent link: https://www.econbiz.de/10012317582

Return and volatility transmission between world-leading and Latin American stock markets : portfolio implications

Yousaf, Imran; Ali, Shoaib; Wong, Wing Keung - In: Journal of risk and financial management : JRFM 13 (2020) 7/148, pp. 1-19

Persistent link: https://www.econbiz.de/10012309325

Predicting China's monetary policy with forecast combinations

Pauwels, Laurent L. - 2019

Persistent link: https://www.econbiz.de/10012202925

The forecast combination puzzle : a simple theoretical explanation

Claeskens, G.; Magnus, Jan R.; Vasnev, A.; Wang, Wendun - 2016

Persistent link: https://www.econbiz.de/10011658582

The Forecast Combination Puzzle: A Simple Theoretical Explanation

Claeskens, Gerda; Magnus, Jan; Vasnev, Andrey; Wang, Wendun - 2014

This papers offers a theoretical explanation for the stylized fact that forecast combinations with estimated optimal … weights often perform poorly in applications. The properties of the forecast combination are typically derived under the …

Persistent link: https://www.econbiz.de/10010491354

Optimal forecasts from Markov switching models

Boot, Tom; Pick, Andreas - de Nederlandsche Bank - 2014

We derive optimal weights for Markov switching models by weighting observations such that forecasts are optimal in the …, forecasting performance increases substantially when the construction of optimal weights takes uncertainty around states into … account. Performance of the optimal weights is shown through simulations and an application to US GNP, where using optimal …

Persistent link: https://www.econbiz.de/10011098671