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Recovering the most entropic copulas from preliminary knowledge of dependence
Chu, Ba; Satchell, Stephen - In: Econometrics : open access journal 4 (2016) 2, pp. 1-21
This paper provides a new approach to recover relative entropy measures of contemporaneous dependence from limited information by constructing the most entropic copula (MEC) and its canonical form, namely the most entropic canonical copula (MECC). The MECC can effectively be obtained by...
Persistent link: https://www.econbiz.de/10011505976
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Comparing out-of-sample performance of machine learning methods to forecast U.S. GDP growth
Chu, Ba; Qureshi, Shafiullah - In: Computational economics 62 (2023) 4, pp. 1567-1609
Persistent link: https://www.econbiz.de/10014437505
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Forecasting Canadian GDP growth with machine learning
Qureshi, Shafiullah; Chu, Ba; Demers, Fanny Saul - 2021
Persistent link: https://www.econbiz.de/10012596590
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An assessment of the economic value of nonlinear foreign exchange rate forecasts
Satchell, Stephen; Timmermann, Allan - 1995
Persistent link: https://www.econbiz.de/10000914266
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Forecasting volatility in the financial markets
Knight, John L. (contributor); Satchell, Stephen (contributor) - 1998
Persistent link: https://www.econbiz.de/10000666770
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Understanding analysts forecasts
Louth, R. J.; Joos, P.; Satchell, Stephen; Weyns, G. - In: The European journal of finance 16 (2010) 1/2, pp. 97-118
Persistent link: https://www.econbiz.de/10003954434
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Forecasting volatility in the financial markets
Knight, John L. (contributor); Satchell, Stephen (contributor) - 2007 - 3. ed.
Persistent link: https://www.econbiz.de/10003556404
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Some choices in forecast construction
Wright, Stephen; Satchell, Stephen - In: Forecasting expected returns in the financial markets, (pp. 101-116). 2007
Persistent link: https://www.econbiz.de/10003557938
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Optimal forecasting horizon for skilled investors
Satchell, Stephen; Williams, Oliver - In: Forecasting expected returns in the financial markets, (pp. 227-250). 2007
Persistent link: https://www.econbiz.de/10003557988
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How persistent is stock return volatility? : an answer with Markov regime switching stochastic volatility models
Hwang, Soosung; Satchell, Stephen; Pereira, Pedro L. Valls - In: Journal of business finance & accounting : JBFA 34 (2007) 5/6, pp. 1002-1024
Persistent link: https://www.econbiz.de/10003507264