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

Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2010

that there are benefits to using higher frequency measures of inflation expectations. Out of sample forecasts confirm the …

Persistent link: https://www.econbiz.de/10009647457

Downside risk optimization in securitized real estate markets

Kroencke, Tim Alexander; Schindler, Felix - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2010

framework instead of the MV framework. Fourth, the dominance of the DR framework is well-documented by comparing out-of-sample …

Persistent link: https://www.econbiz.de/10008568598

Modelling and forecasting the global financial crisis: Initial findings using heterosckedastic log-periodic models

Fantazzini, Dean - In: Economics Bulletin 30 (2010) 3, pp. 1833-1841

) the log-periodic models outperform standard financial models when long-term out-of-sample forecasting is of concern. ii …

Persistent link: https://www.econbiz.de/10008596625

From Moments, Co-Moments and Mean-Variance weights to Copula Portfolio Allocation

Riccetti, Luca - Dipartimento di Scienze Economiche e Sociali, Facoltà … - 2010

excess returns of the stock indices over the bond index return as independent variables. The in-sample and the out-of-sample … (because the weights of the Markowitz model are not needed), while the second is more accurate in-sample and out-of-sample …

Persistent link: https://www.econbiz.de/10008752146

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

Rombouts, Jeroen; Stentoft, Lars Peter - Centre Interuniversitaire de Recherche en Analyse des … - 2010

forecasting out-of-sample a large set of index options between 1996 and 2009, substantial improvements are found compared to …

Persistent link: https://www.econbiz.de/10008642728

Predictable return distributions

Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2010

-order moments in the bond return distribution. Out-of-sample analyses show that the relative accuracy of the state variables in …

Persistent link: https://www.econbiz.de/10008462025

Option Pricing with Asymmetric Heteroskedastic Normal Mixture Models

Rombouts, Jeroen V.K.; Stentoft, Lars - School of Economics and Management, University of Aarhus - 2010

forecasting out-of-sample a large set of index options between 1996 and 2009, substantial improvements are found compared to …

Persistent link: https://www.econbiz.de/10008462026

Faktoru modeļu agregēta un dezagregēta pieeja IKP prognožu precizitātes mērīšanā

Bessonovs, Andrejs - Volkswirtschaftliche Fakultät, … - 2010

The purpose of this paper is to conduct whether the disaggregated data of GDP gives us any additional information in the sense of forecasting accuracy. To test latter hypothesis author employs Stock-Watson factor model. GDP is disaggregated both on expenditure basis and on output basis. Thus...

Persistent link: https://www.econbiz.de/10009004214

Multiple tests for the performance of different investment strategies

Frahm, Gabriel; Wickern, Tobias; Wiechers, Christof - Seminar für Wirtschafts- und Sozialstatistik, … - 2010

In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which … are based on statistical methods with the out-of-sample performance of a family of trivial strategies. A wide range of …

Persistent link: https://www.econbiz.de/10009019666

Evaluating Yield Models for Crop Insurance Rating

Lanoue, Christopher; Sherrick, Bruce J.; Woodard, Joshua D. - Agricultural and Applied Economics Association - AAEA - 2010

to investigate the out-of-sample efficiency properties of several competing distributions. The results indicate that more …-efficiency tradeoff in both in- and out-of-sample frameworks. … less efficient out-of-sample–and in some cases more biased–than more parsimonious forms which also fit the data adequately …

Persistent link: https://www.econbiz.de/10009020311