Zobrazeno 1 - 10
of 49
pro vyhledávání: '"H. K. Van Dijk"'
Publikováno v:
SSRN Electronic Journal.
We propose a novel and numerically efficient quantification approach to forecast uncertainty of the real price of oil using a combination of probabilistic individual model forecasts. Our combination method extends earlier approaches that have been ap
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dd0b747ced224279e0cd4afebeb44823
https://doi.org/10.2139/ssrn.3866129
https://doi.org/10.2139/ssrn.3866129
Publikováno v:
SSRN Electronic Journal.
A flexible forecast density combination approach is introduced that can deal with large data sets. It extends the mixture of experts approach by allowing for model set incompleteness and dynamic learning of combination weights. A dimension reduction
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d83caa1e2748e402d7273634b538ac02
https://doi.org/10.2139/ssrn.3363556
https://doi.org/10.2139/ssrn.3363556
Autor:
Lennart F. Hoogerheide, H. K. van Dijk
Publikováno v:
SSRN Electronic Journal.
We suggest to extend the stacking procedure for a combination of predictive densities, proposed by Yao et al in the journal Bayesian Analysis to a setting where dynamic learning occurs about features of predictive densities of possibly misspecified m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d46a54dcf01af79e2948bef996879753
https://doi.org/10.2139/ssrn.3228625
https://doi.org/10.2139/ssrn.3228625
Publikováno v:
SSRN Electronic Journal.
Increasingly, professional forecasters and academic researchers present model-based and subjective or judgment-based forecasts in economics which are accompanied by some measure of uncertainty. In its most complete form this measure is a probability
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a42e74a6bea5d0f5fb9d864db1c036c1
https://doi.org/10.2139/ssrn.3243003
https://doi.org/10.2139/ssrn.3243003
Publikováno v:
SSRN Electronic Journal.
A dynamic asset-allocation model is specified in probabilistic terms as a combination of return distributions resulting from multiple pairs of dynamic models and portfolio strategies based on momentum patterns in US industry returns. The nonlinear st
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ba27b1a306742cbcb0590b53aebc6947
https://doi.org/10.2139/ssrn.3265977
https://doi.org/10.2139/ssrn.3265977
Publikováno v:
SSRN Electronic Journal.
Weak empirical evidence near and at the boundary of the parameter region is a predominant feature in econometric models. Examples are macroeconometric models with weak information on the number of stable relations, microeconometric models measuring c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4277bc34de2976d21fffaf49f4615382
https://doi.org/10.2139/ssrn.3033451
https://doi.org/10.2139/ssrn.3033451
A Bayesian semi-parametric dynamic model combination is proposed in order to deal with a large set of predictive densities. It extends the mixture of experts and the smoothly mixing regression models by allowing combination weight dependence between
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c33b428584072f05e8f5d626f01fde84
http://papers.tinbergen.nl/15084.pdf
http://papers.tinbergen.nl/15084.pdf
Publikováno v:
SSRN Electronic Journal.
This paper presents the parallel computing implementation of the MitISEM algorithm, labeled Parallel MitISEM. The basic MitISEM algorithm, introduced by Hoogerheide, Opschoor and Van Dijk (2012), provides an automatic and flexible method to approxima
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6996a1722026e37b1910df35fa113670
https://doi.org/10.2139/ssrn.2721705
https://doi.org/10.2139/ssrn.2721705
Publikováno v:
Additional Conferences (Device Packaging, HiTEC, HiTEN, and CICMT). 2010:001514-001539
In section 1, an assessment is made of the typical thermal conductivities attainable in a TC-plastic followed by an examination of the trade-off between increased thermal conductivity and decreased toughness caused by increasing filler load of such a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::80e9aaaf9781eda5fa89795deabe20ad
https://doi.org/10.4071/2010dpc-wa41
https://doi.org/10.4071/2010dpc-wa41
Publikováno v:
SSRN Electronic Journal.
Interconnections between Eurozone and United States booms and busts and among major Eurozone economies are analyzed using a Panel Markov-Switching VAR model. The model accommodates changes in low and high data frequencies and incorporates endogenous
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d046195eefadc45254d916d2ead204a4
https://doi.org/10.2139/ssrn.2660723
https://doi.org/10.2139/ssrn.2660723