Search Results - subject:"out‐of‐sample"

Out-of-sample forecasting of housing bubble tipping points

Ardila, Diego; Sanadgol, Dorsa; Sornette, Didier - In: Quantitative finance and economics 2 (2018) 4, pp. 904-930

Persistent link: https://www.econbiz.de/10012176132

Forecasting volatility : evidence from the Saudi stock market

Al Rahahleh, Naseem M.; Kao, Robert - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-18

autoregressive conditional heteroskedasticity (GARCH)–class models in terms of their in-sample and out-of-sample forecasting accuracy … outperforms the other models in model estimation and daily out-of-sample volatility forecasting of the two indices. This study is …

Persistent link: https://www.econbiz.de/10011960525

Forecast combinations for structural breaks in volatility : evidence from BRICS countries

De Gaetano, Davide - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-13

The aim of this paper is to investigate the relevance of structural breaks for forecasting the volatility of daily returns on BRICS countries (Brazil, Russia, India, China and South Africa). The data set used in the analysis is the Morgan Stanley Capital International MSCI daily returns and...

Persistent link: https://www.econbiz.de/10011961363

Testing for changes in forecasting performance

Perron, Pierre; Yamamoto, Yohei - 2018

Persistent link: https://www.econbiz.de/10011962445

Fiscal policy, wages, and jobs in the U.S.

Kim, Hyeongwoo - 2018

Persistent link: https://www.econbiz.de/10011964870

Forecasting net charge‐off rates of banks : a PLS approach

Barth, James R.; Joo, Sunghoon; Kim, Hyeongwoo; Lee, … - 2018

Persistent link: https://www.econbiz.de/10011964900

Forecasting financial stress indices in Korea : a factor model approach

Kim, Hyeongwoo; Shi, Wen - 2018

Persistent link: https://www.econbiz.de/10011964930

Lagrangian relaxation based heuristics for a chance-constrained optimization model of a hybrid solar-battery storage system

Singh, Bismark; Knueven, Bernard - In: Journal of Global Optimization 80 (2021) 4, pp. 965-989

We develop a stochastic optimization model for scheduling a hybrid solar-battery storage system. Solar power in excess of the promise can be used to charge the battery, while power short of the promise is met by discharging the battery. We ensure reliable operations by using a joint chance...

Persistent link: https://www.econbiz.de/10014501526

Optimal dynamic hedging in selected markets

Yılmaz, Tunahan - In: International Econometric Review (IER) 13 (2021) 4, pp. 89-117

volatility. Secondly, we checked the robustness of the model by observing its forecast performance. As out-of-sample forecast … better the information available to the forecaster in "real-time" out-of-sample forecasting is more appropriate to be used in …

Persistent link: https://www.econbiz.de/10014518990

Optimal dynamic hedging in selected markets

Yilmaz, Tunahan - In: International econometric review 13 (2021) 4, pp. 89-117

Persistent link: https://www.econbiz.de/10013382400