Showing 1 - 10 of 294
their forecasting performance. Our findings reveal significant heterogeneity in ETM volatility patterns, which challenge …
Persistent link: https://www.econbiz.de/10015210001
forecasting model for another variable, and hence our use of terminology such as ?out-of-sample Granger causality? (see e …
Persistent link: https://www.econbiz.de/10010263216
In this chapter we discuss model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with particular emphasis on the construction of valid bootstrap...
Persistent link: https://www.econbiz.de/10010266356
forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …
Persistent link: https://www.econbiz.de/10010334248
In recent years, an impressive body or research on predictive accuracy testing and model comparison has been published in the econometrics discipline. Key contributions to this literature include the paper by Diebold and Mariano (DM: 1995) that sets the groundwork for much of the subsequent work...
Persistent link: https://www.econbiz.de/10010334261
. Preliminary evidence that mixed frequency based forecasting models yield improvements over standard fixed frequency models is …
Persistent link: https://www.econbiz.de/10010334265
of point and density forecasting. The relative accuracy is higher when the full distribution is predicted. We also …
Persistent link: https://www.econbiz.de/10011739584
indicators performs in forecasting turning points of the Macedonian business cycle by employing the Qual VAR approach of Dueker …
Persistent link: https://www.econbiz.de/10011785363
For users of the Ethereum network, the gas price is a crucial parameter that determines how swiftly the decentralized consensus protocol confirms a transaction. This paper studies the statistics of the Ethereum gas price. We start with some conceptual discussion of the gas price notion in view...
Persistent link: https://www.econbiz.de/10012420684
This paper examines the forecasting properties of a Markov regime-switching model applied to Swedish interest rate … is shown to possess good forecasting properties both in general and for specific samples and horizons, something that the …
Persistent link: https://www.econbiz.de/10013208431