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

Comparing predictive accuracy in the presence of a loss function shape parameter

Barendse, Sander; Patton, Andrew J. - 2019

Persistent link: https://www.econbiz.de/10012222224

Comparing predictive accuracy in the presence of a loss function shape parameter

Barendse, Sander; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 1057-1069

Persistent link: https://www.econbiz.de/10013539430

Predictive testing for Granger causality via posterior simulation and cross-validation

Cornwall, Gary J.; Mills, Jeffrey Alan; Sauley, Beau A.; … - 2019

Persistent link: https://www.econbiz.de/10012244159

Economic freedom and growth specification debate : a retrospective

Lawson, Robert; Murphy, Ryan - In: Applied economics letters 25 (2018) 15, pp. 1038-1040

Persistent link: https://www.econbiz.de/10012131690

Further evidence in support of a low-volatility anomaly : optimizing buy-and-hold portfolios by minimizing historical aggregate volatility

Maguire, Phil; Kelly, Stephen; Miller, Robert; Moser, … - In: The journal of asset management 18 (2017) 4, pp. 326-339

Persistent link: https://www.econbiz.de/10011741592

The real-life performance of market timing with moving average and time-series momentum rules

Zakamulin, Valeriy - In: The journal of asset management 15 (2014) 4, pp. 261-278

Persistent link: https://www.econbiz.de/10010476240

Exchange rates forecasting : can jump models combined with macroeconomic fundamentals help?

Bunčák, Tomáš - In: Prague economic papers : a bimonthly journal of … 25 (2016) 5, pp. 527-546

Persistent link: https://www.econbiz.de/10011643619

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