We extend the results of De Luca et al. (2021) to inference for linear regression models based on weighted-average least squares (WALS), a frequentist model averaging approach with a Bayesian flavor.We concentrate on inference about a single focus parameter, interpreted as the causal effect of a...

Usage of Monte Carlo simulation for pricing requires a well defined and accurate market implied distribution of risk factors. Overlay, on top of these simulated risk factors, one can also generate conditional prices based on the set of underlying risk factors at future time horizons. The ability...

This paper describes a process for automatically generating academic finance papers using large language models (LLMs). It demonstrates the process' efficacy by producing hundreds of complete papers on stock return predictability, a topic particularly well-suited for our illustration. We first...

The objective of this research is to introduce in literature new measures of accuracy for point forecasts (radical of order n of the mean of squared errors, mean for the difference between each predicted value and the mean of the effective values, ratio of radicals of sum of squared errors...

The paper proposes a new algorithm for finding the confidence set of a collection of forecasts or prediction models. Existing numerical implementations for finding the confidence set use an elimination approach where one starts with the full collection of models and successively eliminates the...

To their credit, empirical legal scholars try to live up to the highest methodological standards from the social sciences. But these standards do not always match the legal research question. This paper focuses on normative legal argument based on empirical evidence. Whether there is a normative...

We extend the results of De Luca et al. (2021) to inference for linear regression models based on weighted-average least squares (WALS), a frequentist model averaging approach with a Bayesian flavor. We concentrate on inference about a single focus parameter, interpreted as the causal effect of...

In this paper we address a challenging aspect that arises in the regulatory requirement of back-testing the accuracy of distributional forecasts. The latter are core to measurement and capitalization of counterparty risk for banks under the IMM (Internal Models Method). The problem is very...

The procedure for estimating probabilities of future investment returns using time-shifted indexes is based on the simple principle that a multi-dimensional conditional probability distribution can be envisioned involving investment total returns (for a single investment or a fixed portfolio of...

This is a course material (slides in pdf format) from the book 'Investment Decision Making For Firm and Project Valuation.' The book is originally in Spanish and is untitled as 'Decisiones de inversion. Para la valoracion financiera de proyectos y empresas.' Chapter 5 deals with how to prepare...