Forecasting In The Presence Of Structural Breaks And Model Uncertainty
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Forecasting In The Presence Of Structural Breaks And Model Uncertainty
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Author : David E. Rapach
language : en
Publisher: Emerald Group Publishing
Release Date : 2008-02-29
Forecasting In The Presence Of Structural Breaks And Model Uncertainty written by David E. Rapach and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-02-29 with Business & Economics categories.
Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
Forecasting In The Presence Of Structural Breaks And Model Uncertainty
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Author : David E. Rapach
language : en
Publisher: Emerald Group Publishing
Release Date : 2008-02-29
Forecasting In The Presence Of Structural Breaks And Model Uncertainty written by David E. Rapach and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-02-29 with Business & Economics categories.
Forecasting in the presence of structural breaks and model uncertainty are active areas of research with implications for practical problems in forecasting. This book addresses forecasting variables from both Macroeconomics and Finance, and considers various methods of dealing with model instability and model uncertainty when forming forecasts.
The Oxford Handbook Of Economic Forecasting
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Author : Michael P. Clements
language : en
Publisher: Oxford University Press
Release Date : 2011-06-29
The Oxford Handbook Of Economic Forecasting written by Michael P. Clements and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-06-29 with Business & Economics categories.
This Handbook provides up-to-date coverage of both new and well-established fields in the sphere of economic forecasting. The chapters are written by world experts in their respective fields, and provide authoritative yet accessible accounts of the key concepts, subject matter, and techniques in a number of diverse but related areas. It covers the ways in which the availability of ever more plentiful data and computational power have been used in forecasting, in terms of the frequency of observations, the number of variables, and the use of multiple data vintages. Greater data availability has been coupled with developments in statistical theory and economic analysis to allow more elaborate and complicated models to be entertained; the volume provides explanations and critiques of these developments. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models, as well as models for handling data observed at mixed frequencies, high-frequency data, multiple data vintages, methods for forecasting when there are structural breaks, and how breaks might be forecast. Also covered are areas which are less commonly associated with economic forecasting, such as climate change, health economics, long-horizon growth forecasting, and political elections. Econometric forecasting has important contributions to make in these areas along with how their developments inform the mainstream.
Handbook Of Economic Forecasting
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Author : Graham Elliott
language : en
Publisher: Elsevier
Release Date : 2013-10-24
Handbook Of Economic Forecasting written by Graham Elliott and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-24 with Business & Economics categories.
The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. - Focuses on innovation in economic forecasting via industry applications - Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications - Makes details about economic forecasting accessible to scholars in fields outside economics
Forecasting Financial Time Series Using Model Averaging
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Author : Francesco Ravazzolo
language : en
Publisher: Rozenberg Publishers
Release Date : 2007
Forecasting Financial Time Series Using Model Averaging written by Francesco Ravazzolo and has been published by Rozenberg Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
Believing in a single model may be dangerous, and addressing model uncertainty by averaging different models in making forecasts may be very beneficial. In this thesis we focus on forecasting financial time series using model averaging schemes as a way to produce optimal forecasts. We derive and discuss in simulation exercises and empirical applications model averaging techniques that can reproduce stylized facts of financial time series, such as low predictability and time-varying patterns. We emphasize that model averaging is not a "magic" methodology which solves a priori problems of poorly forecasting. Averaging techniques have an essential requirement: individual models have to fit data. In the first section we provide a general outline of the thesis and its contributions to previ ous research. In Chapter 2 we focus on the use of time varying model weight combinations. In Chapter 3, we extend the analysis in the previous chapter to a new Bayesian averaging scheme that models structural instability carefully. In Chapter 4 we focus on forecasting the term structure of U.S. interest rates. In Chapter 5 we attempt to shed more light on forecasting performance of stochastic day-ahead price models. We examine six stochastic price models to forecast day-ahead prices of the two most active power exchanges in the world: the Nordic Power Exchange and the Amsterdam Power Exchange. Three of these forecasting models include weather forecasts. To sum up, the research finds an increase of forecasting power of financial time series when parameter uncertainty, model uncertainty and optimal decision making are included.
Time Series And Wavelet Analysis
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Author : Chang Chiann
language : en
Publisher: Springer Nature
Release Date : 2024-12-19
Time Series And Wavelet Analysis written by Chang Chiann and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-12-19 with Mathematics categories.
Prof. Pedro A. Morettin is a Distinguished Professor of Statistics at the Institute of Mathematics and Statistics of the University of São Paulo (IME-USP), where he has built an academic career spanning almost six decades. His work has had a significant impact on Time Series Analysis and Wavelet Statistical Methods, as exemplified by the papers appearing in this Festschrift, which are authored by renowned researchers in both fields. Besides his long-term commitment to research, Prof. Morettin is very active in mentoring and serving the profession. Moreover, he has written several textbooks, which are still a leading source of knowledge and learning for undergraduate and graduate students, practitioners, and researchers. Divided into two parts, the Festschrift presents a collection of papers that illustrate Prof. Morettin’s broad contributions to Time Series and Econometrics, and to Wavelets. The reader will be able to learn state-of-the-art statistical methodologies, from periodic ARMA models, fractional Brownian motion, and generalized Ornstein-Uhlenbeck processes to spatial models, passing through complex structures designed for high-dimensional data analysis, such as graph and dynamic models. The topics and data features discussed here include high-frequency sampling, fNRIS, forecasting, portfolio apportionment, volatility assessment, dairy production, and inflation, which are relevant to econometrics, medicine, and the food industry. The volume ends with a discussion of several very powerful tools based on wavelets, spectral analysis, dimensionality reduction, self-similarity, scaling, copulas, and other notions.
Handbook Of Asian Finance
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Author : David Lee Kuo Chuen
language : en
Publisher: Academic Press
Release Date : 2014-05-15
Handbook Of Asian Finance written by David Lee Kuo Chuen and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-15 with Business & Economics categories.
Participants in Asian financial markets have witnessed the unprecedented growth and sophistication of their investments since the 1997 crisis. Handbook of Asian Finance: REITs, Trading, and Fund Performance analyzes the forces behind these growth rates. Insights into banking, fund performance, and the effects of trading technologies for practitioners to tax evasion, market manipulation, and corporate governance issues are all here, presented by expert scholars. Offering broader and deeper coverage than other handbooks, the Handbook of Asian Finance: REITs, Trading, and Fund Performance explains what is going on in Asia today. - Presents the only micro- and market-related analysis of pan-Asian finance available today - Explores the implications implicit in the expansion of sovereign funds and the growth of the hedge fund and real estate fund management industries - Investigates the innovations in technology that have ushered in faster capital flow and larger trading volumes
The Methodology And Practice Of Econometrics
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Author : Jennifer Castle
language : en
Publisher: OUP Oxford
Release Date : 2009-04-30
The Methodology And Practice Of Econometrics written by Jennifer Castle and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04-30 with Business & Economics categories.
David F. Hendry is a seminal figure in modern econometrics. He has pioneered the LSE approach to econometrics, and his influence is wide ranging. This book is a collection of papers dedicated to him and his work. Many internationally renowned econometricians who have collaborated with Hendry or have been influenced by his research have contributed to this volume, which provides a reflection on the recent advances in econometrics and considers the future progress for the methodology of econometrics. Central themes of the book include dynamic modelling and the properties of time series data, model selection and model evaluation, forecasting, policy analysis, exogeneity and causality, and encompassing. The book strikes a balance between econometric theory and empirical work, and demonstrates the influence that Hendry's research has had on the direction of modern econometrics. Contributors include: Karim Abadir, Anindya Banerjee, Gunnar Bårdsen, Andreas Beyer, Mike Clements, James Davidson, Juan Dolado, Jurgen Doornik, Robert Engle, Neil Ericsson, Jesus Gonzalo, Clive Granger, David Hendry, Kevin Hoover, Søren Johansen, Katarina Juselius, Steven Kamin, Pauline Kennedy, Maozu Lu, Massimiliano Marcellino, Laura Mayoral, Grayham Mizon, Bent Nielsen, Ragnor Nymoen, Jim Stock, Pravin Trivedi, Paolo Paruolo, Mark Watson, Hal White, and David Zimmer.
Integrated Uncertainty In Knowledge Modelling And Decision Making
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Author : Van-Nam Huynh
language : en
Publisher: Springer
Release Date : 2015-10-08
Integrated Uncertainty In Knowledge Modelling And Decision Making written by Van-Nam Huynh and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-10-08 with Computers categories.
This book constitutes the refereed proceedings of the 4th International Symposium on Integrated Uncertainty in Knowledge Modeling and Decision Making, IUKM 2015, held in Nha Trang, Vietnam, in October 2015. The 40 revised full papers were carefully reviewed and selected from 58 submissions and are presented together with three keynote and invited talks. The papers provide a wealth of new ideas and report both theoretical and applied research on integrated uncertainty modeling and management
Nonlinear Financial Econometrics Markov Switching Models Persistence And Nonlinear Cointegration
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Author : Greg N. Gregoriou
language : en
Publisher: Springer
Release Date : 2010-12-08
Nonlinear Financial Econometrics Markov Switching Models Persistence And Nonlinear Cointegration written by Greg N. Gregoriou and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-08 with Business & Economics categories.
This book proposes new methods to value equity and model the Markowitz efficient frontier using Markov switching models and provide new evidence and solutions to capture the persistence observed in stock returns across developed and emerging markets.