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

Tariffs, Trade and Productivity: A Quantitative Evaluation of Heterogeneous Firm Models

Breinlich, Holger; Cuñat, Alejandro - C.E.P.R. Discussion Papers - 2013

We examine the quantitative predictions of heterogeneous firm models à la Melitz (2003) in the context of the Canada - US Free Trade Agreement (CUSFTA) of 1989. We compute predicted increases in trade flows and measured productivity across a range of standard models and compare them to the...

Persistent link: https://www.econbiz.de/10011083215

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

DeMiguel, Victor; Nogales, Francisco J.; Uppal, Raman - C.E.P.R. Discussion Papers - 2013

We study whether investors can exploit stock return serial dependence to improve out-of- sample portfolio performance …

Persistent link: https://www.econbiz.de/10011083785

On the Usefulness of Constant Gain Least Squares when Forecasting the Unemployment Rate

Antipin, Jan-Erik; Boumediene, Farid Jimmy; Österholm, Pär - Konjunkturinstitutet, Government of Sweden - 2013

. Using quarterly data from 1970 to 2009, we conduct an out-of-sample forecast exercise in which univariate autoregressive …

Persistent link: https://www.econbiz.de/10010818947

Forecasting Exchange Rate from Combination Taylor Rule Fundamental

Kim, Hyeyoen; Ryu, Doojin - In: Emerging Markets Finance and Trade 49 (2013) S4, pp. 81-92

size of the estimation window, we find that the out-of-sample forecasting performance of our approach is better than that …

Persistent link: https://www.econbiz.de/10010733674

Can the Sharia-Based Islamic Stock Market Returns be Forecasted Using Large Number of Predictors and Models?

Gupta, Rangan; Hammoudeh, Shawkat; Simo-Kengne, Beatrice D. - Department of Economics, Faculty of Economic and … - 2013

forecast the returns of the Sharia-based DJIM index over the out-of-sample period. The forecasts are weak at best, with only …

Persistent link: https://www.econbiz.de/10010765633

Real-Time Profitability of Published Anomalies: An Out-of-Sample Test

Huang, Jing-Zhi; Huang, Zhijian - In: Quarterly Journal of Finance (QJF) 03 (2013) 03, pp. 1350016-1

Empirical evidence on the out-of-sample performance of asset-pricing anomalies is mixed so far and arguably is often …

Persistent link: https://www.econbiz.de/10010778764

Is the realized volatility good for option pricing during the recent financial crisis?

Jou, Yow-Jen; Wang, Chih-Wei; Chiu, Wan-Chien - In: Review of Quantitative Finance and Accounting 40 (2013) 1, pp. 171-188

, 2008, a period covering a recent financial crisis. Overall, the HAR-type models successfully predict out-of-sample option …

Persistent link: https://www.econbiz.de/10010867661

Exchange rates and individual good's price misalignment: Evidence of long-horizon predictability

Dong, Wei; Nam, Deokwoo - In: Journal of International Money and Finance 32 (2013) C, pp. 611-636

between the U.S. dollar and the Japanese yen and the U.S. dollar and the U.K. pound. The results of tests for out-of-sample …

Persistent link: https://www.econbiz.de/10011048523

Asymmetries in the revenue–expenditure nexus: A tale of three countries

Paleologou, Suzanna-Maria - In: Economic Modelling 30 (2013) C, pp. 52-60

to gain political support. The fiscal adjustment takes place by cutting government expenditure. The out-of-sample …

Persistent link: https://www.econbiz.de/10011048849

Conditional market beta for REITs: A comparison of modeling techniques

Zhou, Jian - In: Economic Modelling 30 (2013) C, pp. 196-204

evaluate their performances in terms of in-sample beta estimates and out-of-sample beta forecasts. We apply these methods to U …

Persistent link: https://www.econbiz.de/10011048940