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

Forecasting stock returns with sum-of-the-parts methodology : international evidence

Athari, Mahtab; Naka, Atsuyuki; Noman, Abdullah - In: The journal of asset management : a major new, … 26 (2025) 1, pp. 91-114

Persistent link: https://www.econbiz.de/10015331043

Predicting equity premium : a new momentum indicator selection strategy with machine learning

Qu, Yong; Yuan, Ying - In: Journal of forecasting 44 (2025) 2, pp. 424-435

Persistent link: https://www.econbiz.de/10015374046

Forecasting chinese stock market volatility with volatilities in bond markets

Lei, Likun; He, Mengxi; Zhang, Yi; Zhang, Yaojie - In: Journal of forecasting 44 (2025) 2, pp. 547-555

Persistent link: https://www.econbiz.de/10015374064

Partial index tracking enhanced mean-variance portfolio

Cai, Zhaokun; Cui, Zhenyu; Simaan, Majeed - 2025

Persistent link: https://www.econbiz.de/10015375252

Sparsity and stability for minimum-variance portfolios

Husmann, Sven; Shivarova, Antoniya; Steinert, Rick - In: Risk Management 24 (2022) 3, pp. 214-235

The popularity of modern portfolio theory has decreased among practitioners because of its unfavorable out-of-sample …

Persistent link: https://www.econbiz.de/10015199557

Sentiment Shock and Housing Prices: Evidence from Korea

Pyo, Dong-Jin - In: KDI Journal of Economic Policy 44 (2022) 4, pp. 79-108

an increase in sentiment volatility tends to increase housing price volatility as well. In addition, the out-of-sample …

Persistent link: https://www.econbiz.de/10013475166

Does IFRS information on tax loss carryforwards and negative performance improve predictions of earnings and cash flows?

Dreher, Sandra; Eichfelder, Sebastian; Noth, Felix - 2022

the International Financial Reporting Standards tax footnotes for listed firms from Germany. Our out-of-sample tests show … than our simple specification in out-of-sample tests. …

Persistent link: https://www.econbiz.de/10013477188

The anatomy of out-of-sample forecasting accuracy

Borup, Daniel; Goulet Coulombe, Philippe; Rapach, David E. - 2022

fitted models for explaining the in-sample and out-of-sample predicted target values, respectively. The third metric is the … predictors in fitted models to the out-of-sample loss and thereby anatomizes out-of-sample forecasting accuracy. In an empirical …

Persistent link: https://www.econbiz.de/10014278179

Imputing Monthly Values for Quarterly Time Series. An Application Performed with Swiss Business Cycle Data

Abberger, Klaus; Graff, Michael; Müller, Oliver; … - 2022

This paper documents a comparative application of algorithms to deal with the problem of missing values in higher frequency data sets. We refer to Swiss business tendency survey (BTS) data which are conducted in both monthly and quarterly frequency, where an information sub-set is collected at...

Persistent link: https://www.econbiz.de/10014290101

Analysts versus the random walk in financial forecasting: Evidence from the Czech National Bank's Financial Market Inflation Expectations Survey

Kladívko, Kamil; Österholm, Pär - 2022

In this paper, we analyse how financial market analysts' expectations in the Czech National Bank's Financial Market Inflation Expectations survey perform relative to the random-walk forecast when it comes to predicting five financial variables. Using data from 2001 to 2022, our results indicate...

Persistent link: https://www.econbiz.de/10014331152