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Uncertainty and economic performance in the West African Monetary Zone (WAMZ) : a fixed effect panel threshold approach
Egbuna, Ngozi Eunice; John-Sowe, Maimuna; Mohammed, Dauda; … - 2020
single and double threshold effects thus justifying the acceptance of a nonlinear panel regression model against a linear one …
Persistent link: https://www.econbiz.de/10013342706
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Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2015
risks. With a slight reformulation of the loss function and a standard factor decomposition of a panel of forecasts, we show …
Persistent link: https://www.econbiz.de/10011305389
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Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2020
standard factor decomposition of a panel of forecasts, we show that the uncertainty of a typical forecaster can be expressed as …
Persistent link: https://www.econbiz.de/10012405456
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Too good to be true? : fallacies in evaluating risk factor models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2017
This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...
Persistent link: https://www.econbiz.de/10011757568
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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside liquidity (EDL) risks. The cross-section of stock returns reflects a premium if a stock's return (liquidity) is lowest at the same time when the market liquidity (return) is lowest....
Persistent link: https://www.econbiz.de/10012175486
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Too Good to Be True? Fallacies in Evaluating Risk Factor Models
Gospodinov, Nikolay - 2018
This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...
Persistent link: https://www.econbiz.de/10012931474
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Assessment of Uncertainty in High Frequency Data : The Observed Asymptotic Variance
Mykland, Per A. - 2016
The availability of high frequency financial data has generated a series of estimators based on intra-day data, improving the quality of large areas of financial econometrics. However, estimating the standard error of these estimators is often challenging. The root of the problem is that...
Persistent link: https://www.econbiz.de/10013006101
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Many Risks, One (Optimal) Portfolio
Homescu, Cristian - 2014
Persistent link: https://www.econbiz.de/10013050012
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Augmented AI-Knowledge Driven Intelligent Systems for Adversarial-Dynamic Uncertainty and Complexity
Malhotra, Yogesh - 2023
Goal: ISO 31000 Risk Management (RM) recently re-defined risk as the effect of uncertainty on an organization's ability to meet the objectives. Earlier, it defined risk as a combination of the probability and scope of the (predicted) consequences. The revised ISO Risk advances beyond a static...
Persistent link: https://www.econbiz.de/10014256748
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Forecasting with Panel Data : Estimation Uncertainty Versus Parameter Heterogeneity
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2022
-sectional (N) and time (T) dimensions and varying degrees of parameter heterogeneity. We investigate conditions under which panel …We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with … accuracy depend on the degree of parameter heterogeneity, whether heterogeneity is correlated with the regressors, the goodness …
Persistent link: https://www.econbiz.de/10013292495