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We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10010270816
For many economic time-series variables that are observed regularly and frequently, for example weekly, the underlying activity is not distributed uniformly across the year. For the aim of predicting annual data, one may consider temporal aggregation into larger subannual units based on an...
Persistent link: https://www.econbiz.de/10010294045
We show that a simple and intuitive three-parameter equation fits remarkably well the evolution of the gross domestic product (GDP) in current and constant dollars of many countries during the times of recession and recovery. We then argue that it can be used to detect shocks and discuss its...
Persistent link: https://www.econbiz.de/10010298587
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10010303679
on predictive accuracy of aggregate demand in a systematic way. The results of the prediction experiments are compared to …
Persistent link: https://www.econbiz.de/10010330133
cash flows for the prediction of future cash flows. Using a sample of 4,397 Spanish companies (mostly privately held), we … that the out-of-sample prediction errors provided by the accrual-based earnings model are significantly lower than those … obtained with the cash flows model. We also regress the decrease in prediction errors brought about by the addition of accruals …
Persistent link: https://www.econbiz.de/10010331089
methods Our results suggest that model averaging does not dominate other well designed prediction model specification methods … using recursive estimation windows, which dominate other windowing approaches in our experiments, prediction models …-spread variables in nonlinear prediction specification. …
Persistent link: https://www.econbiz.de/10010282841
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/10010282865
function and prediction intervals are obtained. …
Persistent link: https://www.econbiz.de/10010324060
We propose two new procedures for comparing the mean squared prediction error (MSPE) of a benchmark model to the MSPEs …
Persistent link: https://www.econbiz.de/10011605076