Search Results - subject:"predictive accuracy" - EconBiz

Predicting currency crises: A novel approach combining random forests and wavelet transform

Xu, Lei; Kinkyo, Takuji; Hamori, Shigeyuki - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-11

from the wavelet transform, achieves a demonstrably high level of predictive accuracy. We also use variable importance …

Persistent link: https://www.econbiz.de/10012611044

How far can we forecast? Statistical tests of the predictive content

Breitung, Jörg; Knüppel, Malte - 2018

Forecasts are useless whenever the forecast error variance fails to be smaller than the unconditional variance of the target variable. This paper develops tests for the null hypothesis that forecasts become uninformative beyond some limiting forecast horizon h. Following Diebold and Mariano (DM,...

Persistent link: https://www.econbiz.de/10011842230

On using predictive-ability tests in the selection of time-series prediction models: A Monte Carlo evaluation

Costantini, Mauro; Kunst, Robert M. - 2018

selecting the best forecasting model class in finite samples of practical relevance. Flanking such a horse race by predictive-accuracy … with the question whether such simplicity boosting actually benefits predictive accuracy in finite samples. We consider two …

Persistent link: https://www.econbiz.de/10011917383

Forecasting electricity price in Colombia : a comparison between neural network, ARMA process and hybrid models

Barrientos, Jorge Hugo; Orozco, Elkin Tabares; Velilla, … - In: International Journal of Energy Economics and Policy : IJEEP 8 (2018) 3, pp. 97-106

Persistent link: https://www.econbiz.de/10011881289

On using predictive-ability tests in the selection of time-series prediction models : a Monte Carlo evaluation

Costantini, Mauro; Kunst, Robert M. - 2018

selecting the best forecasting model class in finite samples of practical relevance. Flanking such a horse race by predictive-accuracy … with the question whether such simplicity boosting actually benefits predictive accuracy in finite samples. We consider two …

Persistent link: https://www.econbiz.de/10011895825

How far can we forecast? : statistical tests of the predictive content

Breitung, Jörg; Knüppel, Malte - 2018

Forecasts are useless whenever the forecast error variance fails to be smaller than the unconditional variance of the target variable. This paper develops tests for the null hypothesis that forecasts become uninformative beyond some limiting forecast horizon h. Following Diebold and Mariano (DM,...

Persistent link: https://www.econbiz.de/10011826055

Predicting currency crises : a novel approach combining random forests and wavelet transform

Xu, Lei; Kinkyō, Takuji; Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 11 (2018) 4, pp. 1-11

from the wavelet transform, achieves a demonstrably high level of predictive accuracy. We also use variable importance …

Persistent link: https://www.econbiz.de/10011960412

Team contingent or sport native? : a Bayesian analysis of home field advantage in professional soccer

Duan, Chaojie; Chakravarty, Ananyo - In: Journal of business analytics 4 (2021) 1, pp. 67-75

Persistent link: https://www.econbiz.de/10012513666

On using predictive-ability tests in the selection of time-series prediction models : a Monte Carlo evaluation

Costantini, Mauro; Kunst, Robert M. - In: International journal of forecasting 37 (2021) 2, pp. 445-460

Persistent link: https://www.econbiz.de/10012792843

Regularized quantile regression averaging for probabilistic electricity price forecasting

Uniejewski, Bartosz; Weron, Rafał - In: Energy economics 95 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012816620

A service of the