Dynamic Model Averaging for Practitioners in Economics and Finance: The eDMA Package

Autor: Leopoldo Catania, Nima Nonejad

Publikováno v: Journal of Statistical Software, Vol 84, Iss 1, Pp 1-39 (2018)

Raftery, Kárný, and Ettler (2010) introduce an estimation technique, which they refer to as dynamic model averaging (DMA). In their application, DMA is used to predict the output strip thickness for a cold rolling mill, where the output is measured

Externí odkaz: https://doaj.org/article/f9280d7f9a4b4db1a3c36cf104daadd9

Bayesian model averaging and the conditional volatility process: an application to predicting aggregate equity returns by conditioning on economic variables

Autor: Nima Nonejad

Publikováno v: Quantitative Finance. 21:1387-1411

This study revisits the topic of predicting aggregate equity returns out-of-sample by conditioning on economic variables through Bayesian model averaging (BMA). Besides simultaneously addressing pa...

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::eba90ef03f9609baa03c9d051798f4de
https://doi.org/10.1080/14697688.2021.1901970

Should crude oil price volatility receive more attention than the price of crude oil? An empirical investigation via a large‐scale out‐of‐sample forecast evaluation of US macroeconomic data

Autor: Nima Nonejad

Publikováno v: Journal of Forecasting. 40:769-791

Apart from the percentage change in the price of crude oil, there is a growing tradition of using various nonlinear transformations of the price of crude oil to forecast real gross domestic product growth rates, equity returns, inflation and other ma

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::afaf91f2eed73503c3918fc44fcf631d
https://doi.org/10.1002/for.2738

Using the conditional volatility channel to improve the accuracy of aggregate equity return predictions

Autor: Nima Nonejad

Publikováno v: Empirical Economics. 61:973-1009

In a recent study, Maheu et al. (Int J Forecast 36: 570–587, 2020) suggest a predictive regression model, where besides the conditional mean, the lagged value of the predictor of interest can also impact the dependent variable through the condition

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::5c3cb91eab082bfc2ca2905092c8fc7e
https://doi.org/10.1007/s00181-020-01882-8

Predicting equity premium using news-based economic policy uncertainty:Not all uncertainty changes are equally important

Autor: Nima Nonejad

Publikováno v: Nonejad, N 2021, ' Predicting equity premium using news-based economic policy uncertainty : Not all uncertainty changes are equally important ', International Review of Financial Analysis, vol. 77, 101818 . https://doi.org/10.1016/j.irfa.2021.101818

This study contributes to the growing research that uses the news-based measure of U.S. economic policy uncertainty (EPU) suggested in Baker et al. (2016) to predict economic variables out-of-sample. Using simple predictive regressions a la Goyal and

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1b467f6fb27ab8ef8840a4d97df92a31
https://pure.au.dk/portal/da/publications/predicting-equity-premium-using-newsbased-economic-policy-uncertainty(d1054f64-1131-4235-9a99-75878ceb30ff).html