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  • Search: subject:"Out-of-sample evaluation"
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Year of publication
Subject
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Out-of-sample evaluation 13 Prognoseverfahren 8 Forecasting model 7 Portfolio selection 6 Portfolio-Management 6 out-of-sample evaluation 6 Capital income 5 Kapitaleinkommen 5 Theorie 4 Theory 4 Anleihe 2 Bond 2 Bootstrap 2 Bootstrap approach 2 Bootstrap-Verfahren 2 Business cycle 2 Estimation 2 Estimation error 2 Estimation theory 2 Forecast rationality testing 2 In-sample evaluation 2 Intertemporal portfolio choice 2 Markov switching models 2 Portfolio choice 2 Return predictability 2 Schätztheorie 2 Schätzung 2 Shrinkage intensity 2 Small-sample bias 2 Structural change 2 Utility calculations 2 VAR model 2 Welt 2 World 2 Yield curve 2 Zinsstruktur 2 forecast evaluation 2 leading indicators 2 probit model 2 Bias 1
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Online availability
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Undetermined 13 Free 2
Type of publication
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Article 17 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 10 Aufsatz in Zeitschrift 10 Working Paper 1 research-article 1
Language
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English 12 Undetermined 6 German 1
Author
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Giacomini, Raffaella 3 Nogales, Francisco J. 3 DeMiguel, Victor 2 Engsted, Tom 2 Fritsche, Ulrich 2 Kuzin, Vladimir 2 Martin-Utrera, Alberto 2 Pedersen, Thomas Q. 2 Pincheira, Pablo 2 Rossi, Barbara 2 Altavilla, Carlo 1 Bentancor, Andrea 1 Benítez, José M. 1 Bergmeir, Christoph 1 Caldeira, João F. 1 Corradi, Valentina 1 Costantini, Mauro 1 Costantini, Riccardo 1 Dijk, Dick Van 1 Fosten, Jack 1 Gendreau, Michel 1 Gutknecht, Daniel 1 Hardy, Nicolás 1 Jin, Qianying 1 Keutchayan, Julien 1 Liu, Wenbin 1 Miralles-Quirós, José Luis 1 Miralles-Quirós, María del Mar 1 Moura, Guilherme Valle 1 Ruiz, Esther 1 Santos, André A. P. 1 Santos, André A.P. 1 Saucier, Antoine 1 Xiao, Helu 1 Yu, Fanchao 1 Zhou, Zhongbao 1
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Institution
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European Central Bank 1
Published in...
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Journal of Banking & Finance 2 Journal of empirical finance 2 Computational Management Science : CMS 1 Computational Statistics & Data Analysis 1 ECB Working Paper 1 El Trimestre Económico 1 European journal of operational research : EJOR 1 Finance research letters 1 International journal of finance & economics : IJFE 1 Jahrbücher für Nationalökonomie und Statistik 1 Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik) 1 Journal of Empirical Finance 1 Journal of banking & finance 1 Journal of econometrics 1 Journal of financial econometrics : official journal of the Society for Financial Econometrics 1 Journal of forecasting 1 Working Paper Series / European Central Bank 1
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Source
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ECONIS (ZBW) 10 RePEc 7 EconStor 1 Other ZBW resources 1
Showing 1 - 10 of 19
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Predictive ability tests with possibly overlapping models
Corradi, Valentina; Fosten, Jack; Gutknecht, Daniel - In: Journal of econometrics 241 (2024) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10015075140
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Correlation-based tests of predictability
Pincheira, Pablo; Hardy, Nicolás - In: Journal of forecasting 43 (2024) 6, pp. 1835-1858
Persistent link: https://www.econbiz.de/10015110329
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Macroeconomic information, global economic policy uncertainty and gold futures return predictability
Yu, Fanchao - In: Finance research letters 55 (2023) 1, pp. 1-5
Persistent link: https://www.econbiz.de/10014472959
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DEA frontier improvement and portfolio rebalancing : an application of China mutual funds on considering sustainability information disclosure
Zhou, Zhongbao; Xiao, Helu; Jin, Qianying; Liu, Wenbin - In: European journal of operational research : EJOR 269 (2018) 1, pp. 111-131
Persistent link: https://www.econbiz.de/10011864214
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Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
Keutchayan, Julien; Gendreau, Michel; Saucier, Antoine - In: Computational Management Science : CMS 14 (2017) 3, pp. 333-365
Persistent link: https://www.econbiz.de/10011710831
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The role of time-varying return forecasts for improving international diversification benefits
Miralles-Quirós, María del Mar; Miralles-Quirós, … - In: International journal of finance & economics : IJFE 22 (2017) 3, pp. 201-215
Persistent link: https://www.econbiz.de/10011960294
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Bond portfolio optimization using dynamic factor models
Caldeira, João F.; Moura, Guilherme Valle; Santos, … - In: Journal of empirical finance 37 (2016), pp. 128-158
Persistent link: https://www.econbiz.de/10011662973
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On the usefulness of cross-validation for directional forecast evaluation
Bergmeir, Christoph; Costantini, Mauro; Benítez, José M. - In: Computational Statistics & Data Analysis 76 (2014) C, pp. 132-143
advantages over the standard out-of-sample evaluation procedure as it may help to overcome problems induced by the limited …
Persistent link: https://www.econbiz.de/10011056571
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Bond returns and market expectations
Altavilla, Carlo; Giacomini, Raffaella; Costantini, Riccardo - In: Journal of financial econometrics : official journal of … 12 (2014) 4, pp. 708-729
Persistent link: https://www.econbiz.de/10010512285
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Detecting and predicting forecast breakdowns
Giacomini, Raffaella; Rossi, Barbara - 2006
We propose a theoretical framework for assessing whether a forecast model estimated over one period can provide good forecasts over a subsequent period. We formalize this idea by defining a forecast breakdown as a situation in which the out-of-sample performance of the model, judged by some loss...
Persistent link: https://www.econbiz.de/10011604684
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