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Quantifying subjective uncertainty in survey expectations

Krüger, Fabian; Pavlova, Lora - In: International journal of forecasting 40 (2024) 2, pp. 796-810

Persistent link: https://www.econbiz.de/10014547207

Forecasting with many predictors - Is boosting a viable alternative?

Buchen, Teresa; Wohlrabe, Klaus - 2010

This paper evaluates the forecast performance of boosting, a variable selection device, and compares it with the … comparison methodology, we find that boosting is a serious competitor for forecasting US industrial production growth in the …

Persistent link: https://www.econbiz.de/10010427583

Google data in bridge equation models for German GDP

Götz, Thomas B.; Knetsch, Thomas A. - 2017

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...

Persistent link: https://www.econbiz.de/10011667607

Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence

Kim, Hyun Hak; Swanson, Norman R. - In: Journal of Econometrics 178 (2014) P2, pp. 352-367

principle components and other shrinkage techniques, including Bayesian model averaging and various bagging, boosting, least …

Persistent link: https://www.econbiz.de/10011052271

Boosting and Predictability of Macroeconomic Variables: Evidence from Brazil

Schultz Lindenmeyer, Guilherme; da Silva Torrent, Hudson - In: Computational Economics 64 (2023) 1, pp. 377-409

This paper aims to elaborate a treated data set and apply the boosting methodology to monthly Brazilian macroeconomic … performance of boosting models using P-Splines as base-learner are the ones that have the best results, especially the methodology … with two components: two-stage boosting. In addition, we conducted an analysis on a subgroup of variables with data …

Persistent link: https://www.econbiz.de/10015165686

Option trading strategies based on semi-parametric implied volatility surface prediction

Audrino, Francesco; Colangelo, Dominik - School of Economics and Political Science, Universität … - 2009

We propose constructing a set of trading strategies using predicted option returns for a relatively small forecasting period of ten trading days to form profitable hold-to-expiration, equally weighted, zero-cost portfolios based on 1-month at-the-money call and put options. We use a statistical...

Persistent link: https://www.econbiz.de/10004963497