Forecasting In The Presence Of Structural Breaks And Model Uncertainty PDF Download
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Author | : David E. Rapach |
Publisher | : Emerald Group Publishing |
Total Pages | : 700 |
Release | : 2008-02-29 |
Genre | : Business & Economics |
ISBN | : 1849505403 |
Download Forecasting in the Presence of Structural Breaks and Model Uncertainty Book in PDF, ePub and Kindle
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.
Author | : Cram101 Textbook Reviews |
Publisher | : Academic Internet Pub Incorporated |
Total Pages | : 60 |
Release | : 2011-05-01 |
Genre | : Education |
ISBN | : 9781614901884 |
Download Outlines and Highlights for Forecasting in the Presence of Structural Breaks and Model Uncertainty Book in PDF, ePub and Kindle
Never HIGHLIGHT a Book Again! Virtually all of the testable terms, concepts, persons, places, and events from the textbook are included. Cram101 Just the FACTS101 studyguides give all of the outlines, highlights, notes, and quizzes for your textbook with optional online comprehensive practice tests. Only Cram101 is Textbook Specific. Accompanys: 9780444529428 .
Author | : Francesco Ravazzolo |
Publisher | : |
Total Pages | : 43 |
Release | : 2010 |
Genre | : |
ISBN | : |
Download Bayesian Model Averaging in the Presence of Structural Breaks Book in PDF, ePub and Kindle
This paper develops a return forecasting methodology that allows for instability in the relationship between stock returns and predictor variables, for model uncertainty, and for parameter estimation uncertainty. The predictive regression specification that is put forward allows for occasional structural breaks of random magnitude in the regression parameters, and for uncertainty about the inclusion of forecasting variables, and about the parameter values by employing Bayesian Model Averaging. The implications of these three sources of uncertainty, and their relative importance, are investigated from an active investment management perspective. It is found that the economic value of incorporating all three sources of uncertainty is considerable. A typical in vestor would be willing to pay up to several hundreds of basis points annually to switch from a passive buy-and-hold strategy to an active strategy based on a return forecasting model that allows for model and parameter uncertainty as well as structural breaks in the regression parameters.
Author | : Marcelle Chauvet |
Publisher | : |
Total Pages | : 8 |
Release | : 2001 |
Genre | : Business cycles |
ISBN | : |
Download Predicting a Recession Book in PDF, ePub and Kindle
Author | : Joeata Kacou |
Publisher | : |
Total Pages | : 140 |
Release | : 2009 |
Genre | : |
ISBN | : |
Download Forecasting in Presence of Structural Breaks Book in PDF, ePub and Kindle
Author | : Michael P. Clements |
Publisher | : Oxford University Press |
Total Pages | : 732 |
Release | : 2011-06-29 |
Genre | : Business & Economics |
ISBN | : 0199875510 |
Download The Oxford Handbook of Economic Forecasting Book in PDF, ePub and Kindle
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.
Author | : David F. Hendry |
Publisher | : |
Total Pages | : 0 |
Release | : 2002 |
Genre | : |
ISBN | : |
Download Forecasting in the Presence of Structural Breaks and Policy Regime Shifts Book in PDF, ePub and Kindle
Author | : Todd E. Clark |
Publisher | : |
Total Pages | : 55 |
Release | : 2002 |
Genre | : Econometric models |
ISBN | : |
Download Forecast-based Model Selection in the Presence of Structural Breaks Book in PDF, ePub and Kindle
Author | : Graham Elliott |
Publisher | : Elsevier |
Total Pages | : 1386 |
Release | : 2013-10-24 |
Genre | : Business & Economics |
ISBN | : 0444627413 |
Download Handbook of Economic Forecasting Book in PDF, ePub and Kindle
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
Author | : Francesco Ravazzolo |
Publisher | : Rozenberg Publishers |
Total Pages | : 198 |
Release | : 2007 |
Genre | : |
ISBN | : 9051709145 |
Download Forecasting Financial Time Series Using Model Averaging Book in PDF, ePub and Kindle
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.