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

Evaluating conditional forecasts from vector autoregressions

Clark, Todd E.; McCracken, Michael W. - 2014

Persistent link: https://www.econbiz.de/10010423516

The determinants of the benchmark interest rates in China : a discrete choice model approach

Kim, Hyeongwoo; Shi, Wen - 2014

Persistent link: https://www.econbiz.de/10010512608

In-sample tests of predictability are superior to pseudo-out-of-sample tests, even when data mining

Hunt, Ian - In: International journal of forecasting 38 (2022) 3, pp. 872-877

Persistent link: https://www.econbiz.de/10013349413

Active share and the predictability of the performance of separate accounts

Cremers, Martijn; Fulkerson, Jon A.; Riley, Timothy B. - In: Financial analysts journal : FAJ 78 (2022) 1, pp. 39-57

Persistent link: https://www.econbiz.de/10013167455

Biases in long-horizon predictive regressions

Boudoukh, Jacob; Israel, Ronen; Richardson, Matthew - In: Journal of financial economics 145 (2022) 3, pp. 937-969

Persistent link: https://www.econbiz.de/10013475444

Uncovering regimes in out of sample forecast errors

Silva, Anibal Emiliano da; Gonzalo, Jesús; Pitarakis, … - 2018

Persistent link: https://www.econbiz.de/10011945978

Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support

Diks, Cees; Panchenko, Valentyn; Sokolinskiy, Oleg; van … - 2013

-Leibler Information Criterion, but using (out-of-sample) conditional likelihood and censored likelihood in order to focus the evaluation …

Persistent link: https://www.econbiz.de/10010326216

Mobility in an Enlarging European Union: Projections of Potential Flows from EU's Eastern Neighbors and Croatia

Fertig, Michael; Kahanec, Martin - 2013

out-of-sample forecasts using an adaption of the model of Hatton (1995) to time series cross-sectional data about post …

Persistent link: https://www.econbiz.de/10010329123

Density and conditional distribution based specification analysis

Duong, Diep; Swanson, Norman - 2013

The technique of using densities and conditional distributions to carry out consistent specification testing and model selection amongst multiple diffusion processes have received considerable attention from both financial theoreticians and empirical econometricians over the last two decades....

Persistent link: https://www.econbiz.de/10010334264

Stock Returns Under Alternative Volatility and Distributional Assumptions: The Case for India

Mukhopadhyay, Debabrata; Sarkar, Nityananda - In: International Econometric Review (IER) 5 (2013) 1, pp. 1-19

, comparisons across these models have been done using forecast evaluation criteria suitable for both in-sample and out-of-sample …-sample and out-of-sample forecasts. Also, the assumption of normality for the conditional distribution is not quite statistically …

Persistent link: https://www.econbiz.de/10012610945