Zobrazeno 1 - 10
of 149
pro vyhledávání: '"Norman R. Swanson"'
Autor:
Hal Pedersen, Norman R. Swanson
Publikováno v:
Quantitative Finance and Economics, Vol 3, Iss 1, Pp 22-45 (2019)
In this paper we survey a number of recent empirical findings regarding the usefulness of including diffusion indexes in dynamic Nelson-Siegel (DNS) type models used to predict the term structure of interest rates (see e.g., Diebold and Li (2007) and
Externí odkaz:
https://doaj.org/article/cf95d48e486347188adfd34cc62d843b
Autor:
Andres Fernandez, Norman R. Swanson
Publikováno v:
Quantitative Finance and Economics, Vol 1, Iss 1, Pp 2-25 (2017)
In this paper, we assess the relevance of real-time datasets for forecasting. We construct a variety of real-time prediction models and evaluate their performance in a series of ex-ante prediction experiments that are designed to mimic forecasting ap
Externí odkaz:
https://doaj.org/article/d9b72955ed684a75b3e0088c53850db2
Publikováno v:
Econometrics, Vol 8, Iss 2, p 19 (2020)
We investigate the marginal predictive content of small versus large jump variation, when forecasting one-week-ahead cross-sectional equity returns, building on Bollerslev et al. (2020). We find that sorting on signed small jump variation leads to gr
Externí odkaz:
https://doaj.org/article/5ac31d93197d47278ec503c804a752e5
Autor:
Mingmian Cheng, Norman R. Swanson
Publikováno v:
Econometrics, Vol 7, Iss 1, p 13 (2019)
Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the magnitu
Externí odkaz:
https://doaj.org/article/7d80c202156d4c32a63e93d7f729b699
Publikováno v:
Journal of Applied Econometrics.
We develop a forecast superiority testing methodology which is robust to the choice of loss function. Following Jin, Corradi and Swanson (JCS: 2017), we rely on a mapping between generic loss forecast evaluation and stochastic dominance principles. H
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::549ae5c8d39ea1ecd8000e2a753d1f29
https://doi.org/10.1002/jae.2962
https://doi.org/10.1002/jae.2962
Publikováno v:
Journal of Econometrics.
This paper proposes new jackknife IV estimators that are robust to the effects of many weak instruments and error heteroskedasticity in a cluster sample setting with cluster-specific effects and possibly many included exogenous regressors. The estima
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::bd85ed9e2372de25062d36fc1f94ae96
https://doi.org/10.1016/j.jeconom.2022.12.011
https://doi.org/10.1016/j.jeconom.2022.12.011
Publikováno v:
Empirical Economics.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::eeed397c205f476d03275e089cfac9ea
https://doi.org/10.1007/s00181-022-02289-3
https://doi.org/10.1007/s00181-022-02289-3
Publikováno v:
Journal of Empirical Finance. 62:46-61
In this paper, we propose and evaluate a shrinkage based methodology that is designed to improve the accuracy of volatility forecasts. Our approach is based on a two-step procedure for extracting latent common volatility factors from a large dimensio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::07def56ed52b1504d62701157b42c5a3
https://doi.org/10.1016/j.jempfin.2021.01.007
https://doi.org/10.1016/j.jempfin.2021.01.007
This book, and its companion volume in the Econometric Society Monographs series (ESM number 32), present a collection of papers by Clive W. J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decade
This book, and its companion volume in the Econometric Society Monographs series (ESM number 33), present a collection of papers by Clive W. J. Granger. His contributions to economics and econometrics, many of them seminal, span more than four decade