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Term Structure Forecasting Using Macro Factors and Forecast Combination
de Pooter, Michiel; Ravazzolo, Francesco; van Dijk, Dick - 2010
uncertainty when forecasting the term structure of U.S.interest rates. We start off by analyzing and comparing the forecast …
Persistent link: https://www.econbiz.de/10012143735
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Previsão de homicídios no Brasil: Proposta de variável antecedente
Lins, Gabriel de Oliveira Accioly; Cerqueira, Daniel; … - 2020
systematically surpassing univariate models, especially in extended periods of forecasting. In general, improvements related to the …
Persistent link: https://www.econbiz.de/10012616509
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The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average Options
Rombouts, Jeroen; Stentoft, Lars Peter; Violente, Francesco - Centre Interuniversitaire de Recherche en Analyse des … - 2012
We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differ in their...
Persistent link: https://www.econbiz.de/10009652126
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The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options
ROMBOUTS, Jeroen V. K.; STENTOFT, Lars; VIOLANTE, Francesco - Center for Operations Research and Econometrics (CORE), … - 2012
We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differ in their...
Persistent link: https://www.econbiz.de/10010610494
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On the Forecasting Accuracy of Multivariate GARCH Models
Laurent, Sébastien; Rombouts, Jeroen V.K.; Violante, … - Centre Interuniversitaire sur le Risque, les Politiques … - 2010
This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting …
Persistent link: https://www.econbiz.de/10008595652
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On the forecasting accuracy of multivariate GARCH models
LAURENT, Sébastien; ROMBOUTS, Jeroen V. K.; VIOLANTE, … - Center for Operations Research and Econometrics (CORE), … - 2010
This paper addresses the question of the selection of multivariate GARCH models in terms of variance matrix forecasting …
Persistent link: https://www.econbiz.de/10008642224
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Forecasting Brazilian inflation by its aggregate and disaggregated data : a test of predictive power by forecast horizon
Carlo, Thiago Carlomagno; Marçal, Emerson Fernandes - In: Applied economics 48 (2016) 49/51, pp. 4846-4860
Persistent link: https://www.econbiz.de/10011641013
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Comparative performances of measures of consumer and economic sentiment in forecasting consumption : a multi-country analysis
Gausden, Robert; Hasan, Mohammad S. - In: Applied economics 52 (2020) 10, pp. 1088-1104
Persistent link: https://www.econbiz.de/10012197517
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Previsão de homicídios no Brasil: proposta de variável antecedente
Lins, Gabriel de Oliveira Accioly; Cerqueira, Daniel; … - 2020
systematically surpassing univariate models, especially in extended periods of forecasting. In general, improvements related to the …
Persistent link: https://www.econbiz.de/10012319134