Can there be side effects of improved forecast accuracy? In this study of the Belgian food retailer Colruyt Group, we show how adding explanatory variables (such as promotions, weather forecasts, national events, etc.) increases forecast accuracy compared to methods using only historical sales...

Much of the trading activity in Equity markets is directed to brokerage houses. In exchange they provide so-called quot;soft dollarsquot; which basically are amounts spent in quot;researchquot; for identifying profitable trading opportunities. Soft dollars represent about USD 1 out of every USD...

We consider forecasting a single time series using high-dimensional predictors in the presence of a possible nonlinear forecast function. The sufficient forecasting (Fan et al., 2016) used sliced inverse regression to estimate lower-dimensional sufficient indices for non-parametric forecasting...

In the past year, we have witnessed that the U.S. inflation rate hit the highest peak in over 40 years and is still close to its multi-decade high now. The overall change in consumer prices has a significant impact on the nation's economic activity, product manufacturing, consumer behavior, and...

We consider forecasting a single time series when there is a large number of predictors and a possible nonlinear effect. The dimensionality was first reduced via a high-dimensional factor model implemented by the principal component analysis. Using the extracted factors, we develop a link-free...

A aplicação de métricas de risco na EDP é fundamental não só para apoio à decisão sobre operações de Trading no mercado de electricidade e de combustíveis, como também, na tomada de decisões no âmbito do Plano de Negócios com base numa avaliação periódica do nível de risco de...

The introduction by regulators of mandatory margining for bilateral OTCs is going to have a major impact on the derivatives market, particularly in light of the additional funding costs and liquidity requirements that large financial institutions will face. Fabrizio Anfuso, Daniel Aziz, Paul...

The equal-risk-contribution, inverse-volatility weighted, maximum-diversification and minimum-variance portfolio weights are all direct functions of the estimated covariance matrix. We perform a Monte Carlo study to assess the impact of covariance matrix misspecification to these risk-based...

Machine learning methods are becoming increasingly popular in economics, due to the increased availability of large datasets. In this paper I evaluate a recently proposed algorithm called Generalized Approximate Message Passing (GAMP), which has been popular in signal processing and compressive...

To evaluate the price forecasts, we use two data frequencies i.e., annual and quarter with two most demanding techniques, i.e., ARIMA and VAR models to forecast the four index of inflation, named, Consumer Price Index (CPI), Wholesale Price Index (WPI), GNP Price Deflator (GNPPD), and Implicit...