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Can linear predictability models time bull and bear real estate markets? : out-of-sample evidence from REIT portfolios

Bianchi, Daniele; Guidolin, Massimo - In: The journal of real estate finance and economics 49 (2014) 1, pp. 116-164

Persistent link: https://www.econbiz.de/10010422318

A regression-based methodology for efficiently building futures' portfolio

Maris, K.; Koutsothimiou, D.; Petropoulos, Fotios; Petra, E. - In: The empirical economics letters : a monthly … 12 (2013) 2, pp. 231-237

Persistent link: https://www.econbiz.de/10010257936

Financial market prediction system with Evolino neural network and Delphi method

Maknickienė, Nijolė; Maknickas, Algirdas - In: Journal of business economics and management 14 (2013) 2, pp. 403-413

Persistent link: https://www.econbiz.de/10009738803

The value of forecasts : quantifying the economic gains of accurate quarter-hourly electricity price forecasts

Kath, Christopher; Ziel, Florian - In: Energy economics 76 (2018), pp. 411-423

Persistent link: https://www.econbiz.de/10011976692

Murphy diagrams: forecast evaluation of expected shortfall

Ziegel, Johanna; Krüger, Fabian; Jordan, Alexander I. - 2017

Shortfall. A large family of scoring functions can be used to evaluate forecast performance in this context. However, little … therefore develop graphical checks (Murphy diagrams) of whether one forecast method dominates another under a relevant class of …

Persistent link: https://www.econbiz.de/10011663466

Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics

Bartels, Mariana; Ziegelmann, Flávio A. - In: Insurance / Mathematics & economics 70 (2016), pp. 66-79

Persistent link: https://www.econbiz.de/10011597172

Linear and nonlinear predictability in investment style factors : multivariate evidence

Chincoli, Francesco; Guidolin, Massimo - In: The journal of asset management 18 (2017) 6, pp. 476-509

Persistent link: https://www.econbiz.de/10011844398

Bayesian risk forecasting for long horizons

Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …

Persistent link: https://www.econbiz.de/10011979983

Robust forecast evaluation of expected shortfall

Ziegel, Johanna; Krüger, Fabian; Jordan, Alexander I.; … - In: Journal of financial econometrics 18 (2020) 1, pp. 95-120

Persistent link: https://www.econbiz.de/10012180402

Market timing and predictable profitability

Tarani, Sophia; Kyriazi, Foteini - In: International journal of portfolio analysis and … 2 (2024) 4, pp. 379-393

Persistent link: https://www.econbiz.de/10015064374