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Dynamic asset allocation with ambiguous return predictability

Chen, Hui; Ju, Nengjiu; Miao, Jianjun - In: Review of economic dynamics 17 (2014) 4, pp. 799-823

Persistent link: https://www.econbiz.de/10011281431

Reading the tea leaves : model uncertainty, robust forecasts, and the autocorrelation of analysts' forecast errors

Linnainmaa, Juhani; Torous, Walter N.; Yae, James - In: Journal of financial economics 122 (2016) 1, pp. 42-64

Persistent link: https://www.econbiz.de/10011590878

Forecasting with model uncertainty : representations and risk reduction

Hirano, Keisuke; Wright, Jonathan H. - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 2, pp. 617-643

Persistent link: https://www.econbiz.de/10011778680

Forecasting stock market volatility under parameter and model uncertainty

Li, Zhao-Chen; Chi, Xie; Wang, Gang-Jin; Zhu, You; … - In: Research in international business and finance 66 (2023), pp. 1-29

Persistent link: https://www.econbiz.de/10014463139

Liquidity and realized covariance forecasting : a hybrid method with model uncertainty

Qiao, Gaoxiu; Cao, Yangli; Ma, Feng; Li, Weiping - In: Empirical economics : a quarterly journal of the … 64 (2023) 1, pp. 437-463

Persistent link: https://www.econbiz.de/10014226295

Model uncertainty and scenario aggregation

Cambou, Mathieu; Filipović, Damir - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 534-567

Persistent link: https://www.econbiz.de/10011752528

Improving value-at-risk prediction under model uncertainty

Peng, Shige; Yang, Shuzhen; Yao, Jianfeng - In: Journal of financial econometrics 21 (2023) 1, pp. 228-259

Persistent link: https://www.econbiz.de/10013542865

Model uncertainty and scenario aggregation

Cambou, Mathieu; Filipović, Damir - 2014

the definition of five fundamental criteria that serve as a basis for our method. Standard risk measures, such as value-at-risk …

Persistent link: https://www.econbiz.de/10010412678

Model error (or ambiguity) and its estimation, with particular application to loss reserving

Taylor, Greg; Mc Guire, Gráinne - In: Risks : open access journal 11 (2023) 11, pp. 1-28

This paper is concerned with the estimation of forecast error, particularly in relation to insurance loss reserving. Forecast error is generally regarded as consisting of three components, namely parameter, process and model errors. The first two of these components, and their estimation, are...

Persistent link: https://www.econbiz.de/10014435599

Model and survey estimates of the term structure of US macroeconomic uncertainty

Clements, Michael P.; Galvão, Ana Beatriz C. - In: International journal of forecasting 33 (2017) 3, pp. 591-604

Persistent link: https://www.econbiz.de/10011746192