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Optimal probabilistic forecasts : when do they work?

Martin, Gael M.; Loiza-Maya, Ruben; Frazier, David T.; … - 2020

Persistent link: https://www.econbiz.de/10012610795

Focused Bayesian prediction

Loiza-Maya, Ruben; Martin, Gael M.; Frazier, David T. - 2020

Persistent link: https://www.econbiz.de/10012606751

Optimal probabilistic forecasts : when do they work?

Martin, Gael M.; Loiza-Maya, Ruben; Maneesoonthorn, Worapree - In: International journal of forecasting 38 (2022) 1, pp. 384-406

Persistent link: https://www.econbiz.de/10013347814

ABC-based forecasting in state space models

Weerasinghe, Chaya; Loiza-Maya, Ruben; Martin, Gael M.; … - 2023

Persistent link: https://www.econbiz.de/10014452518

Splines for Financial Volatility

Audrino, Francesco; Bühlmann, Peter - School of Economics and Political Science, Universität … - 2007

is large, i.e. many parameters, we use regularized and sparse model fitting with a boosting algorithm. Our method is …

Persistent link: https://www.econbiz.de/10005797706

Can a machine correct option pricing models?

Almeida, Caio; Fan, Jianqing; Freire, Gustavo; Tang, … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 995-1009

Persistent link: https://www.econbiz.de/10014448492

Harnessing volatility cascades with ensemble learning

Cheng, Mingmian - In: Journal of forecasting 43 (2024) 8, pp. 2954-2981

Persistent link: https://www.econbiz.de/10015110591

Forecasting variance swap payoffs

Dark, Jonathan; Gao, Xin; Heijden, Thijs van der; … - In: The journal of futures markets 42 (2022) 12, pp. 2135-2164

Persistent link: https://www.econbiz.de/10013465873

Chapter 15. Forecasting with Bayesian Vector Autoregression

Karlsson, Sune - 2013

This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by extension, forecasting depends on numerical methods for simulating from the posterior distribution of the parameters and special attention is given to the implementation of the...

Persistent link: https://www.econbiz.de/10014025233

Nonparametric estimation for i.i.d. paths of a martingale-driven model with application to non-autonomous financial models

Marie, Nicolas - In: Finance and stochastics 27 (2023) 1, pp. 97-126

Persistent link: https://www.econbiz.de/10013489500