Search Results - subject:"tuning parameter"

Forecasting the returns of cryptocurrency: A model averaging approach

Xiao, Hui; Sun, Yiguo - In: Journal of Risk and Financial Management 13 (2020) 11, pp. 1-15

This paper aims to enrich the understanding and modelling strategies for cryptocurrency markets by investigating major cryptocurrencies' returns determinants and forecast their returns. To handle model uncertainty when modelling cryptocurrencies, we conduct model selection for an autoregressive...

Persistent link: https://www.econbiz.de/10012611490

Forecasting the returns of cryptocurrency : a model averaging approach

Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 13 (2020) 11/278, pp. 1-15

This paper aims to enrich the understanding and modelling strategies for cryptocurrency markets by investigating major cryptocurrencies´ returns determinants and forecast their returns. To handle model uncertainty when modelling cryptocurrencies, we conduct model selection for an autoregressive...

Persistent link: https://www.econbiz.de/10012388749

On tuning parameter selection in model selection and model averaging: A Monte Carlo study

Xiao, Hui; Sun, Yiguo - In: Journal of Risk and Financial Management 12 (2019) 3, pp. 1-16

offers a unified framework for variable selection via penalized likelihood and the tuning parameter selection is vital for … least squares (OLS) post-selection estimators with the tuning parameter determined by different selection approaches. We aim … estimators. We find that the OLS post-smoothly clipped absolute deviation (SCAD) estimator with the tuning parameter selected by …

Persistent link: https://www.econbiz.de/10012611180

On tuning parameter selection in model selection and model averaging : a Monte Carlo study

Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 12 (2019) 3/109, pp. 1-16

Persistent link: https://www.econbiz.de/10012025275

Penalized quasi-likelihood estimation of generalized Pareto regression : consistent identification of risk factors for extreme losses

Meng, Jin; Chan, Kung-sik - In: Insurance / Mathematics & economics 104 (2022), pp. 60-75

Persistent link: https://www.econbiz.de/10013264936

Integrated-quantile-based estimation for first price auction models

Luo, Yao; Wan, Yuanyuan - University of Toronto, Department of Economics - 2015

bidding strategy. Based on an integrated-quantile representation of the first-order condition, we propose a tuning-parameter …

Persistent link: https://www.econbiz.de/10011273266

Adaptive elastic net GMM estimation with many invalid moment conditions : simultaneous model and moment selection

Caner, Mehmet; Han, Xu; Lee, Yoonseok - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 24-46

Persistent link: https://www.econbiz.de/10011894389

Integrated-quantile-based estimation for first-price auction models

Luo, Yao; Wan, Yuanyuan - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 173-180

Persistent link: https://www.econbiz.de/10011894484

A new method for specifying the tuning parameter of l1 trend filtering

Yamada, Hiroshi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 4, pp. 1-8

Persistent link: https://www.econbiz.de/10011965278

Robust estimation of conditional variance of time series using density power divergences

Park, Jin‐Hong; Sriram, T. N. - In: Journal of forecasting 36 (2017) 6, pp. 703-717

Persistent link: https://www.econbiz.de/10011861411