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

Sovereign bond return prediction with realized higher moments

Kinateder, Harald; Papavassiliou, Vassilios G. - In: Journal of international financial markets, … 62 (2019), pp. 53-73

Persistent link: https://www.econbiz.de/10012262440

Impacts of lagged returns on the risk-return relationship of Chinese aggregate stock market : evidence from different data frequencies

Liu, Jingzhen - In: Research in international business and finance 48 (2019), pp. 243-257

Persistent link: https://www.econbiz.de/10012135907

Forecasting aggregate equity return volatility using crude oil price volatility : The role of nonlinearities and asymmetries

Nonejad, Nima - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-20

Persistent link: https://www.econbiz.de/10012203664

It's not that important : the negligible effect of oil market uncertainty

Yin, Libo; Feng, Jiabao; Liu, Li; Wang, Yudong - In: International review of economics & finance : IREF 60 (2019), pp. 62-84

Persistent link: https://www.econbiz.de/10012203810

Do jet fuel price movements help forecast airline fares and the demand for air travel?

Atems, Bebonchu; Bachmeier, Lance J.; Williams, Corey - In: Applied economics letters 26 (2019) 11, pp. 877-882

Persistent link: https://www.econbiz.de/10012204413

Uncertainty of macroeconomic forecasters and the prediction of stock market bubbles

Herwartz, Helmut; Kholodilin, Konstantin A. - 2014

We assess the contribution of macroeconomic uncertainty

Persistent link: https://www.econbiz.de/10010421030

Bagging Constrained Equity Premium Predictors

Lee, Tae-Hwy; Hillebrand, Eric; Medeiros, Marcelo - Department of Economics, University of California-Riverside - 2014

Premium Out of Sample: Can Anything Beat the Historical Average?", Review of Financial Studies 21, 1511-1531, we show that we …

Persistent link: https://www.econbiz.de/10011134223

A Consumption-Based Approach to Exchange Rate Predictability

Ojeda-Joya, Jair N. - BANCO DE LA REPÚBLICA - 2014

This paper provides evidence of short-run predictability for the real exchange rate by performing out-of-sample tests …

Persistent link: https://www.econbiz.de/10011098121

Probabilidad Clásica de Sobreajuste con Criterios de Información: Estimaciones con Series Macroeconómicas Chilenas

Medel, Carlos A. - Volkswirtschaftliche Fakultät, … - 2014

This paper provides, via Monte Carlo simulations, estimates of the classical probability of overfitting under an autoregressive environment (AR), using the information criteria (IC) of Akaike, Schwarz and Hannan-Quinn (AIC, BIC and HQ), calibrated with Chilean data of total inflation, core...

Persistent link: https://www.econbiz.de/10011111369

Forecasting In a Non-Linear DSGE Model

Ivashchenko, Sergey - Department of Economics, European University at St. … - 2014

(RMSE) of the in-sample and out-of-sample forecasts is calculated. The nonlinear DSGE model with measurement errors … outperforms AR (1), VAR (1) and the linearized DSGE in terms of the quality of the out-of-sample forecasts. The nonlinear DSGE …

Persistent link: https://www.econbiz.de/10011161269