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

The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well

Christoffersen, Peter; Heston, Steven; Jacobs, Kris - In: Management Science 55 (2009) 12, pp. 1914-1932

stochastic volatility model by 24% in-sample and 23% out-of-sample. The better fit results from improvements in the modeling of …

Persistent link: https://www.econbiz.de/10009204398

Models for construction of multivariate dependence - a comparison study

Aas, Kjersti; Berg, Daniel - In: The European Journal of Finance 15 (2009) 7-8, pp. 639-659

A multivariate data set, which exhibit complex patterns of dependence, particularly in the tails, can be modelled using a cascade of lower-dimensional copulae. In this paper, we compare two such models that differ in their representation of the dependency structure, namely the nested Archimedean...

Persistent link: https://www.econbiz.de/10008603207

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

Persistent link: https://www.econbiz.de/10003938360

On the impact of exclusion filters rules in option pricing

Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - 2015

Persistent link: https://www.econbiz.de/10011565393

Re-estimation of Keynesian model by considering critical events and multiple cointegrating vectors

Hina, Hafsa; Qayyum, Abdul - In: The Pakistan development review : PDR 54 (2015) 2, pp. 123-145

Persistent link: https://www.econbiz.de/10011561554

Examining the forecasting performance of a modified affine model with macroeconomic and latent factors

Evgenidis, Anastasios; Siriopoulos, Costas - In: The journal of prediction markets 9 (2015) 1, pp. 33-52

Persistent link: https://www.econbiz.de/10011346873

How good are out of sample forecasting tests on DSGE models?

Minford, Patrick; Xu, Yongdeng; Zhou, Peng - In: Italian economic journal 1 (2015) 3, pp. 333-351

Persistent link: https://www.econbiz.de/10011544832

On SETAR non- linearity and forecasting

Franses, Philip Hans; Clements, Clements, M.P.; Smith, … - Faculteit der Economische Wetenschappen, Erasmus … - 1999

We consider the usefulness of the two-regime SETAR model for out-of-sample forecasting, and compare it with a linear AR …

Persistent link: https://www.econbiz.de/10010731575

On SETAR non- linearity and forecasting

Clements, M.P.; Franses, Ph.H.B.F.; Smith, J. - Erasmus University Rotterdam, Econometric Institute - 1999

We consider the usefulness of the two-regime SETAR model for out-of-sample forecasting, and compare it with a linear AR …

Persistent link: https://www.econbiz.de/10008584825

Hedge Effectiveness Forecasting

Dahlgran, Roger A.; Ma, Xudong - 2008

presents a significant chance of actually increasing price risk by hedging, and (f) comparison of in sample and out of sample …

Persistent link: https://www.econbiz.de/10009443344