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

How to compare interpretatively different models for the conditional variance function

Juutilainen, Ilmari; Roning, Juha - In: Journal of Applied Statistics 37 (2010) 6, pp. 983-997

This study considers regression-type models with heteroscedastic Gaussian errors. The conditional variance is assumed to depend on the explanatory variables via a parametric or non-parametric variance function. The variance function has usually been selected on the basis of the log-likelihoods...

Persistent link: https://www.econbiz.de/10008674934

Predicting bankruptcy using the discrete-time semiparametric hazard model

Cheng, K. F.; Chu, C. K.; Hwang, Ruey-Ching - In: Quantitative Finance 10 (2010) 9, pp. 1055-1066

The usual bankruptcy prediction models are based on single-period data from firms. These models ignore the fact that the characteristics of firms change through time, and thus they may suffer from a loss of predictive power. In recent years, a discrete-time parametric hazard model has been...

Persistent link: https://www.econbiz.de/10008675036

Second-Order Sensitivity in Applied General Equilibrium

Landis, Florian - CER-ETH Center of Economic Research, Department of … - 2010

In most policy applications of general equilibrium modeling, cost functions are calibrated to benchmark data. Modelers often choose the functional form for cost functions based on suitability for numerical solution of the model. The data (including elasticities of substitution) determine first...

Persistent link: https://www.econbiz.de/10008467142

Predicting nominal exchange rate movements using skewness information from options prices

Ratcliff, Ryan - In: International journal of finance & economics : IJFE 15 (2010) 1, pp. 75-92

Persistent link: https://www.econbiz.de/10008702364

The Importance of the Loss Function in Option Pricing

Christoffersen, Peter; Jacobs, Kris - Centre Interuniversitaire de Recherche en Analyse des … - 2001

Which loss function should be used when estimating and evaluating option pricing models? Many different fucntions have been suggested, but no standard has emerged. We do not promote a partidular function, but instead emphasize that consistency in the choice of loss functions is crucial. First,...

Persistent link: https://www.econbiz.de/10005100978

In-sample and out-of-sample properties of international stock return dynamics conditional on equilibrium pricing factors

Herwartz, Helmut; Morales-Arias, Leonardo - In: The European Journal of Finance 15 (2009) 1, pp. 1-28

We conduct a comprehensive analysis of the in-sample and out-of-sample properties of stock return dynamics in 14 …. Based on this model, we design both in-sample and out-of-sample panel modeling techniques to investigate international stock … equilibrium relations but this feature does not appear to translate into out-of-sample forecasting, (ii) a rolling window …

Persistent link: https://www.econbiz.de/10005438066

Testing the structure of multistage stochastic programs

Dupačová, Jitka; Bertocchi, Marida; Moriggia, Vittorio - In: Computational Management Science 6 (2009) 2, pp. 161-185

Persistent link: https://www.econbiz.de/10005369518

Asymmetries in Macroeconomic Time Series in Eleven Asian Economies

Kiani, Khurshid M. - In: International Journal of Business and Economics 8 (2009) 1, pp. 37-54

We investigate business cycle asymmetries in the real GDP of eleven selected Asian economies using nonlinear switching time series models and artificial neural networks. Results based on neural network linearity tests show evidence of business cycle asymmetries in all series. Results based on...

Persistent link: https://www.econbiz.de/10010837274

FORECASTING SERIES CONTAINING OFFSETTING BREAKS: OLD SCHOOL AND NEW SCHOOL METHODS OF FORECASTING TRANSNATIONAL TERRORISM

Enders, Walter; Liu, Yu; Prodan, Ruxandra - In: Defence and Peace Economics 20 (2009) 6, pp. 441-463

Transnational terrorism data are difficult to forecast because they contain an unknown number of structural breaks of unknown functional form. The rise of religious fundamentalism, the demise of the Soviet Union, and the rise of al Qaeda have changed the nature of transnational terrorism. 'Old...

Persistent link: https://www.econbiz.de/10008503076

Statistical Tools as Measures of Core Inflation for India

Kar, Sujata - In: Indian Economic Review 44 (2009) 2, pp. 225-245

The objective of this paper is to find out a measure of core inflation that could satisfy the major criteria suggested in the literature to judge how good a core inflation estimate is. Using WPI inflation for the period 1989:2 – 2005:12, the analysis shows that geometric exponential smoothing...

Persistent link: https://www.econbiz.de/10008552751