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The Mean Squared Prediction Error Paradox: A summary

Pincheira, Pablo; Hardy, Nicolas - 2020

display the lowest correlation with the target variable. Given that violations of efficiency are usual in the forecasting … literature, this opposite behavior in terms of accuracy and correlation with the target variable may be a fairly common empirical … finding that we label here as "the MSPE Paradox." We characterize "Paradox zones" in terms of differences in correlation with …

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

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

Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets

Fantazzini, Dean - 2024

This paper investigates the estimation of the Value-at-Risk (VaR) across various probability levels for the log-returns of a comprehensive dataset comprising four thousand crypto-assets. Employing four recently introduced Adaptive Conformal Inference (ACI) algorithms, we aim to provide robust...

Persistent link: https://www.econbiz.de/10015213597

An Infinite Hidden Markov Model with GARCH for Short-Term Interest Rates

Li, Chenxing; Yang, Qiao - 2025

This paper introduces a novel Bayesian time series model that combines the nonparametric features of an infinite hidden Markov model with the volatility persistence captured by the GARCH framework, to effectively model and forecast short-term interest rates. When applied to US 3-month Treasury...

Persistent link: https://www.econbiz.de/10015214745

Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach

Magomedov, Said; Fantazzini, Dean - 2025

The popularity of cryptocurrency exchanges has surged in recent years, accompanied by the proliferation of new digital platforms and tokens. However, the issue of credit risk and the reliability of crypto exchanges remain critical, highlighting the need for indicators to assess the safety of...

Persistent link: https://www.econbiz.de/10015214856

Discussing copulas with Sergey Aivazian: a memoir

Fantazzini, Dean - 2020

Sergey Aivazian was the head of my department at the Moscow School of Economics, but he was much more than that. He played an important role in my life, and he contributed to my studies devoted to copula modelling. This small memoir reports how this amazingly polite and smart scientist helped me...

Persistent link: https://www.econbiz.de/10015215098

Ordinal-response models for irregularly spaced transactions: A forecasting exercise

Dimitrakopoulos, Stefanos; Tsionas, Mike G.; Aknouche, … - 2020

We propose a new model for transaction data that accounts jointly for the time duration between transactions and for the discreteness of the intraday stock price changes. Duration is assumed to follow a stochastic conditional duration model, while price discreteness is captured by an...

Persistent link: https://www.econbiz.de/10015220557

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

Yang, Bill Huajian - 2017

estimation of the asset correlation is required. As an example, the proposed model, benchmarked with the rating transition model …

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

Point-in-Time PD Term Structure Models with Loan Credit Quality as a Component

Yang, Bill Huajian - 2017

Most point-in-time PD term structure models used in industry for stress testing and IFRS9 expected loss estimation apply only to macroeconomic scenarios. Loan level credit quality is not a factor in these models. In practice, credit profile at assessment time plays an important role in the...

Persistent link: https://www.econbiz.de/10015257063