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This paper proposes a new combined semiparametric estimator of the conditional variance that takes the product of a parametric estimator and a nonparametric estimator based on machine learning. A popular kernel-based machine learning algorithm, known as the kernel-regularized least squares...
Persistent link: https://www.econbiz.de/10012814196
Deriving estimators from historical data is common practice in applied quantitative finance. The availability of ever larger data sets and easier access to statistical algorithms has also led to an increased usage of historical estimators. In this research note, we illustrate how to assess the...
Persistent link: https://www.econbiz.de/10014236566
Forecasting-volatility models typically rely on either daily or high frequency (HF) data and the choice between these … forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the assumptions of jumping …
Persistent link: https://www.econbiz.de/10011730304
Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these … these two family forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the …
Persistent link: https://www.econbiz.de/10011674479
forecasting volatility model with the most appropriate error distribution. The results suggest the presence of leverage effect … forecasting model that could guarantee a sound policy decisions. …
Persistent link: https://www.econbiz.de/10011489480
There has been increased interest in the use of "big data" when it comes to forecasting macroeconomic time series such … as private consumption or unemployment. However, applications on forecasting GDP are rather rare. In this paper we … incorporate Google search data into a Bridge Equation Model, a version of which usually belongs to the suite of forecasting models …
Persistent link: https://www.econbiz.de/10011667109
This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability …. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …
Persistent link: https://www.econbiz.de/10012258549
Persistent link: https://www.econbiz.de/10014288356
electricity price spreads between different hours of the day. This supports an optimal day ahead storage and discharge schedule … electricity. The four latent moments of the density functions are dynamic and conditional upon exogenous drivers, thereby …
Persistent link: https://www.econbiz.de/10014107616
We propose a shrinkage estimator for covariance matrices designed to minimize estimation error of the Global Minimum Variance (GMV) portfolio. Implementing the GMV portfolio requires estimating the asset covariance matrix and using this to obtain variance-minimizing portfolio weights. Standard...
Persistent link: https://www.econbiz.de/10012953566