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

Forecasting financial market vulnerability in the US : a factor model approach

Kim, Hyeongwoo; Shi, Wen - 2015

Persistent link: https://www.econbiz.de/10010512532

Dynamic factors and asset pricing: International and further U.S. evidence

He, Zhongzhi; Zhu, Jie; Zhu, Xiaoneng - In: Pacific-Basin Finance Journal 32 (2015) C, pp. 21-39

significantly improves the cross-sectional explanatory power of the Fama–French three-factor model. In the out-of-sample exercise …

Persistent link: https://www.econbiz.de/10011263626

Prior Selection for Vector Autoregressions

Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio E. - In: The Review of Economics and Statistics 2 (2015) 97, pp. 436-451

macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-of-sample forecasts … subjective choices in the setting of the prior. Moreover, it performs very well in terms of both out-of-sample forecastingâ …

Persistent link: https://www.econbiz.de/10011266984

Log versus level in VAR forecasting: 42 million empirical answers—Expect the unexpected

Mayr, Johannes; Ulbricht, Dirk - In: Economics Letters 126 (2015) C, pp. 40-42

appropriateness in the context of out-of-sample forecasts has not yet been exposed to a thorough empirical investigation. With the aim … pseudo-out-of-sample forecasts of GDP are evaluated. The results show that, on average, the knee-jerk transformation of the …

Persistent link: https://www.econbiz.de/10011189562

Out-of-sample bond risk premium predictions: A global common factor

Zhu, Xiaoneng - In: Journal of International Money and Finance 51 (2015) C, pp. 155-173

This paper investigates the out-of-sample predictability of international bond risk premia. We endogenously construct a …

Persistent link: https://www.econbiz.de/10011190176

A comparative analysis of the predictive power of implied volatility indices and GARCH forecasted volatility

Bentes, Sónia R. - In: Physica A: Statistical Mechanics and its Applications 424 (2015) C, pp. 105-112

This paper examines the accuracy of implied volatility and GARCH forecasted volatility to predict the behavior of realized volatility. The methodology adopted addresses the information content, the bias, the efficiency and the efficiency forecast of the predictor.

Persistent link: https://www.econbiz.de/10011194039