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modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM … where local estimation windows are fixed on an ad hoc basis. …
Persistent link: https://www.econbiz.de/10010330969
processes are assumed to be autocorrelated which makes standard estimation methods infeasible, a simulated maximum Iikelihood …
Persistent link: https://www.econbiz.de/10010435593
/Taylor/Shroff/Sougiannis (2002), our approach allows daily estimation, using only publicly available information at that date. We then estimate the …
Persistent link: https://www.econbiz.de/10010316291
We present an empirical study focusing on the estimation of a fundamental multi-factor model for a universe of European …
Persistent link: https://www.econbiz.de/10010316262
-of-sample forecast accuracy are both statistically and economically significant. The factor-augmented predictive regressions have … the stability of their forecast accuracy, whereas the benchmark models suffer from a forecast breakdown during the 1990s. …
Persistent link: https://www.econbiz.de/10010326025
model. Based on this assumption the author drives the optimal updating rule for the forecast of the next period when new …
Persistent link: https://www.econbiz.de/10010298603
In economics, common factors are often assumed to underlie the co-movements of a set of macroeconomic variables. For this reason, many authors have used estimated factors in the construction of prediction models. In this paper, we begin by surveying the extant literature on diffusion indexes. We...
Persistent link: https://www.econbiz.de/10010282831
Diffusion index models have received considerable attention from both theoreticians and empirical econometricians in recent years. One reason for this is that datasets with many variables are increasingly becoming available and being utilized for economic modelling, and another is that common...
Persistent link: https://www.econbiz.de/10010282837
Central banks regularly monitor select financial and macroeconomic variables in order to obtain early indication of the impact of monetary policies. This practice is discussed on the Federal Reserve Bank of New York website, for example, where one particular set of macroeconomic indicators is...
Persistent link: https://www.econbiz.de/10010282848
directional forecasts can provide a useful framework to assess the economic forecast value when loss functions (or success … directional forecast value is a readily available alternative to the commonly used squared error loss criterion. …
Persistent link: https://www.econbiz.de/10010271901