Search Results - subject:"loss functions"

Optimizing policymakers' loss functions in crisis prediction : before, within or after?

Sarlin, Peter; Schweinitz, Gregor von - 2017

Early-warning models most commonly optimize signaling thresholds on crisis probabilities. The expost threshold optimization is based upon a loss function accounting for preferences between forecast errors, but comes with two crucial drawbacks: unstable thresholds in recursive estimations and an...

Persistent link: https://www.econbiz.de/10011637059

Evaluating multivariate volatility forecasts : how effective are statistical and economic loss functions?

Doolan, Mark Bernard - 2011

optimisation problems. Given the number of models available and the range of loss functions to discriminate between them, it is … effective many commonly used statistical (MSE and QLIKE) and economic (portfolio variance and portfolio utility) loss functions … extensive simulation study examines the ability of the loss functions to consistently rank forecasts, and their statistical …

Persistent link: https://www.econbiz.de/10009438015

Comparing possibly misspecified forecasts

Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 4, pp. 796-809

Persistent link: https://www.econbiz.de/10012313371

Estimating the term structure of commodity market preferences

Christodoulakis, George A. - In: European journal of operational research : EJOR 282 (2020) 3, pp. 1146-1163

Persistent link: https://www.econbiz.de/10012161880

Forecasting sovereign CDS VOLATILITY : a comparison of univariate GARCH-class models

Sabkha, Saker; Peretti, Christian de; Mallek, Sabrine - In: Vie & sciences de l'entreprise : VSE ; la revue de … 209 (2020), pp. 27-56

Persistent link: https://www.econbiz.de/10013188545

Optimizing Policymakers' Loss Functions in Crisis Prediction: Before, Within or After?

Sarlin, Peter; von Schweinitz, Gregor - 2015

Early-warning models most commonly optimize signaling thresholds on crisis probabilities. The ex-post threshold optimization is based upon a loss function accounting for preferences between forecast errors, but comes with two crucial drawbacks: unstable thresholds in recursive estimations and an...

Persistent link: https://www.econbiz.de/10011282540

On time series modeling of Nigeria's external reserves

Doguwa, Sani I.; Alade, Sarah O. - In: CBN Journal of Applied Statistics 06 (2015) 1, pp. 1-28

This paper proposes three short-term forecasting models for the adjusted external reserves using the seasonal autoregressive integrated moving average (SARIMA), seasonal autoregressive integrated moving average with an exogenous input (SARIMA-X) and an autoregressive distributed lag (ARDL)...

Persistent link: https://www.econbiz.de/10011482600

Optimizing policymakers' loss functions in crisis prediction: before, within or after?

Sarlin, Peter; Schweinitz, Gregor von - 2015

Persistent link: https://www.econbiz.de/10011280016

On time series modeling of Nigeria's external reserves

Doguwa, Sani I.; Alade, Sarah O. - In: CBN journal of applied statistics 6 (2015) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10011473622

Estimating a covariance matrix for market risk management and the case of credit default swaps

Neuberg, Richard; Glasserman, Paul - In: Quantitative finance 19 (2019) 1, pp. 77-92

Persistent link: https://www.econbiz.de/10012194621