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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

Forward Ordinal Probability Models for Point-in-Time Probability of Default Term Structure

Yang, Bill Huajian - 2017

Common ordinal models, including the ordered logit model and the continuation ratio model, are structured by a common score (i.e., a linear combination of a list of given explanatory variables) plus rank specific intercepts. Sensitivity with respect to the common score is generally not...

Persistent link: https://www.econbiz.de/10015256549

Monotonic Estimation for Probability Distribution and Multivariate Risk Scales by Constrained Minimum Generalized Cross-Entropy

Yang, Bill Huajian - 2019

Minimum cross-entropy estimation is an extension to the maximum likelihood estimation for multinomial probabilities. Given a probability distribution {r_i }_(i=1)^k, we show in this paper that the monotonic estimates {p_i }_(i=1)^k for the probability distribution by minimum cross-entropy are...

Persistent link: https://www.econbiz.de/10015263815

On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Bucy filters for Gaussian linear investment returns distribution and 2. Particle filters for non-Gaussian non-linear investment returns distribution

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - 2013

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

Persistent link: https://www.econbiz.de/10015239466

Tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - 2013

Persistent link: https://www.econbiz.de/10015239524

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

Pincheira, Pablo; Jarsun, Nabil - 2020

-value theory for exchange rate determination and on the strong co-movement displayed by some commodity prices. The Chilean economy …

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

Inference for likelihood-based estimators of generalized long-memory processes

Beaumont, Paul; Smallwood, Aaron - 2019

analysis. The results demonstrate the strong efficacy of both estimators and generally sup- port the proposed theory of Chung … can be unreliable in very small samples under weak long memory, and the distribution theory under the null of an … the application of theory under the alternative of finite cycles. …

Persistent link: https://www.econbiz.de/10015265305

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

Forecasting Unemployment Rates with International Factors

Pincheira, Pablo; Hernández, Ana María - 2019

In this paper we study international linkages when forecasting unemployment rates in a sample of 24 OECD economies. We propose a Global Unemployment Factor (GUF) and test its predictive ability considering in-sample and out-of-sample exercises. Our main results indicate that the predictive...

Persistent link: https://www.econbiz.de/10015266130

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