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

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, in particular the KOF manufacturing surveys, which are conducted in both monthly and quarterly frequency,...

Persistent link: https://www.econbiz.de/10013472865

Quantile regression analysis to predict GDP distribution using data from the US and UK

Thi Huyen Tran; Ślepaczuk, Robert - 2022

Persistent link: https://www.econbiz.de/10013474017

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/10013429204

Beating the average : equity premium variations, uncertainty, and liquidity

Batten, Jonathan A.; Kinateder, Harald; Wagner, Niklas F. - In: Abacus : a journal of accounting, finance and business … 58 (2022) 3, pp. 567-588

Persistent link: https://www.econbiz.de/10013396053

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/10013482570

Investors' perspective on forecasting crude oil return volatility : where do we stand today?

Liu, Li; Geng, Qianjie; Zhang, Yaojie; Wang, Yudong - In: Journal of management science and engineering 7 (2022) 3, pp. 423-438

issues that affect out-of-sample performance. Most studies assess volatility forecasts from the perspectives of portfolio …

Persistent link: https://www.econbiz.de/10014310613

Trend-cycle decompositions of real GDP revisited : classical and Bayesian perspectives on an unsolved puzzle

Kim, Chang-jin; Kim, Jaeho - In: Macroeconomic dynamics 26 (2022) 2, pp. 394-418

Persistent link: https://www.econbiz.de/10013166386

A power booster factor for out-of-sample tests of predictability

Pincheira, Pablo - In: Economía : revista del Departamento de Economía, … 45 (2022) 89, pp. 150-183

Persistent link: https://www.econbiz.de/10014253600

Long-memory models in testing the efficiency market hypothesis of the algerian exchange market

Benzai, Yassine; Aouad, Hadjar Soumia; Djellouli, Nassima - In: Management dynamics in the knowledge economy 10 (2022) 4/38, pp. 376-390

Persistent link: https://www.econbiz.de/10013499339

¿Influye la corrupción percibida en el mercado de seguros de crédito en España? : Un análisis mediante la herramienta Google Trends

González Fernández, Marcos; Naveira Gallego, Judit - In: Revista de métodos cuantitativos para la economía y … 33 (2022), pp. 169-190

la metodología de regresión y el análisis out-of-sample para comprobar la capacidad predictiva del modelo. Los resultados …

Persistent link: https://www.econbiz.de/10013341355