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Penalized adaptive method in forecasting with large information set and structure change

Li, Xinjue; Zbonakova, Lenka; Härdle, Wolfgang - 2017

bond risk premia modelling, the locally selected variables and their estimated coefficient loadings identified the longest …

Persistent link: https://www.econbiz.de/10011714497

Estimating the variance of a combined forecast : bootstrap-based approach

Hounyo, Ulrich; Lahiri, Kajal - In: Journal of econometrics 232 (2023) 2, pp. 445-468

Persistent link: https://www.econbiz.de/10014340010

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

Structural inference in sparse high-dimensional vector autoregressions

Krampe, Jonas; Paparoditis, Efstathios; Trenkler, Carsten - In: Journal of econometrics 234 (2023) 1, pp. 276-300

Persistent link: https://www.econbiz.de/10014364826

Estimating the variance of the predictor in stochastic Kriging

Kleijnen, Jack P. C.; Mehdad, Ehsan - 2015

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Measuring nonlinear Granger causality in mean

Song, Xiaojun; Taamouti, Abderrahim - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 321-333

Persistent link: https://www.econbiz.de/10011895015

Predictability hidden by anomalous observations

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2013 - This version: March 2013

Persistent link: https://www.econbiz.de/10010221576

Dividend growth predictability and the price-dividend ratio

Piatti, Ilaria; Trojani, Fabio - In: Management science : journal of the Institute for … 66 (2020) 1, pp. 130-158

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Model selection in factor-augmented regressions with estimated factors

Djogbenou, Antoine A. - 2017

bootstrap approximation of the squared error of prediction of Shao (1996) to factor-augmented regressions. We show that this …

Persistent link: https://www.econbiz.de/10011756075

Horizon confidence sets

Fosten, Jack; Gutknecht, Daniel - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 667-692

Persistent link: https://www.econbiz.de/10012616872