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Finanzmarkt-Ökonometrie : Basistechniken, fortgeschrittene Verfahren, Prognosemodelle

Schröder, Michael (ed.); Buscher, Herbert S. (contributor) - 2002

Persistent link: https://www.econbiz.de/10001629835

Finanzmarkt-Ökonometrie : Basistechniken, fortgeschrittene Verfahren, Prognosemodelle

Schröder, Michael (ed.) - 2012 - 2., überarbeitete Auflage

XI I Statistische Eigenschaften von Finanzmarkt-Zeitreihen 1 Michael Schröder II Regressionsanalyse … 29 Jürgen Kahler III Angewandte Zeitreihenanalyse 99 Herbert S. Buscher IV …

Persistent link: https://www.econbiz.de/10014008462

Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components? : [... presented at the 8th Bundesbank spring conference (Mai 2006) on "New Developments in Economic Forecasting"]

De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - 2006

This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range...

Persistent link: https://www.econbiz.de/10003385783