Showing 1 - 10 of 116
Global sea levels are rising which is widely understood as a consequence of thermal expansion and melting of glaciers and land-based ice caps. Due to physically-based models being unable to simulate observed sea level trends, semi-empirical models have been applied as an alternative for...
Persistent link: https://www.econbiz.de/10009360166
Global sea levels are rising which is widely understood as a consequence of thermal expansion and melting of glaciers and land-based ice caps. Due to physically-based models being unable to simulate observed sea level trends, semi-empirical models have been applied as an alternative for...
Persistent link: https://www.econbiz.de/10009365640
While up to the late 1990s Japanese foreign exchange intervention was fully sterilized, Japanese monetary authorities left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous research on foreign exchange intervention, unsterilized...
Persistent link: https://www.econbiz.de/10005530723
After the stock market crash of 1987, Fischer Black proposed a model in which he explained the crash by inconsistencies in the formation of expectations of mean reversion in stock returns. Following this explanation, a model that allows for mean reversion in stock returns is estimated on daily...
Persistent link: https://www.econbiz.de/10005413206
Persistent link: https://www.econbiz.de/10004971172
The literature on excess return prediction has considered a wide array of estimation schemes, among them unrestricted and restricted regression coefficients. We consider bootstrap aggregation (bagging) to smooth parameter restrictions. Two types of restrictions are considered: positivity of the...
Persistent link: https://www.econbiz.de/10011134223
The lag structure (1,5,21) is most commonly used for the HAR-RV model for realized volatility (Corsi 2009), where the terms are thought to represent a daily, a weekly, and a monthly time scale. The aggregation of the three scales approximates long mem- ory. We explore flexible lag selection for...
Persistent link: https://www.econbiz.de/10010822679
Relations between economic variables can often not be exploited for forecasting, suggesting that predictors are weak in the sense that estimation uncertainty is larger than bias from ignoring the relation. In this paper, we propose a novel bagging predictor designed for such weak predictor...
Persistent link: https://www.econbiz.de/10010851188
We examine the Stein-rule shrinkage estimator for possible improvements in estimation and forecasting when there are many predictors in a linear time series model. We consider the Stein-rule estimator of Hill and Judge (1987) that shrinks the unrestricted unbiased OLS estimator towards a...
Persistent link: https://www.econbiz.de/10010851208
The literature on excess return prediction has considered a wide array of estimation schemes, among them unrestricted and restricted regression coefficients. We consider bootstrap aggregation (bagging) to smooth parameter restrictions. Two types of restrictions are considered: positivity of the...
Persistent link: https://www.econbiz.de/10010851210