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Penalized Convex Estimation in Dynamic Location-Scale models

ALAMI CHENTOUFI, Reda - 2024

This paper introduces a two-step procedure for convex penalized estimation in dynamic location-scale models. The method uses a consistent, non-sparse first-step estimator to construct a convex Weighted Least Squares (WLS) optimization problem compatible with the Least Absolute Shrinkage and...

Persistent link: https://www.econbiz.de/10015214778

The Mean Squared Prediction Error Paradox: A summary

Pincheira, Pablo; Hardy, Nicolas - 2020

This is a summary of the paper entitled : “The Mean Squared Prediction Error Paradox”. In that paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of...

Persistent link: https://www.econbiz.de/10015229363

Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate

Pincheira, Pablo; Jarsun, Nabil - 2020

This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

Persistent link: https://www.econbiz.de/10015229382

Risk Estimation when the Zero Probability of Financial Return is Time-Varying

Grønneberg, Steffen; Sucarrat, Genaro - 2014

depend on market conditions. In ordinary models of risk (e.g. volatility, Value-at-Risk, Expected Shortfall), however, the … probability, and which nests ordinary models as special cases. The properties (e.g. volatility, skewness, kurtosis, Value …-at-Risk, Expected Shortfall) of the new class are obtained as functions of the underlying volatility and zero probability models. For a …

Persistent link: https://www.econbiz.de/10015257749

The predictive relationship between exchange rate expectations and base metal prices

Pincheira, Pablo; Hardy, Nicolas - 2018

In this paper we show that survey-based-expectations about the future evolution of the Chilean exchange rate have the ability to predict the returns of the six primary non-ferrous metals: aluminum, copper, lead, nickel, tin and zinc. Predictability is also found for returns of the London Metal...

Persistent link: https://www.econbiz.de/10015261799

Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile

Pincheira, Pablo; Neumann, Federico - 2018

We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...

Persistent link: https://www.econbiz.de/10015262273

Forecasting Aluminum Prices with Commodity Currencies

Pincheira, Pablo; Hardy, Nicolás - 2019

In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both in-sample and out-of-sample analyses. The theoretical underpinning of these results relies on the...

Persistent link: https://www.econbiz.de/10015265738

Action in Economics: Mathematical Derivation of Laws of Economics from the Principle of Least Action in Physics

Kombarov, Sayan - 2021

The thesis of this paper is mathematical formulation of the laws of Economics with application of the principle of Least Action of classical mechanics. This paper is proposed as the rigorous mathematical approach to Economics provided by the fundamental principle of the physical science – the...

Persistent link: https://www.econbiz.de/10015267579

Forecasting oil prices with penalized regressions, variance risk premia and Google data

Fantazzini, Dean; Kurbatskii, Alexey; Mironenkov, Alexey; … - 2022

includes several episodes of high volatility in the oil market. Our evidence shows that penalized regressions provided the best …

Persistent link: https://www.econbiz.de/10015270524

The Mean Squared Prediction Error Paradox

Pincheira, Pablo; Hardy, Nicolas - 2021

In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the...

Persistent link: https://www.econbiz.de/10015241474