Sökning: "Out-of-sample forecasting"
Visar resultat 1 - 5 av 11 avhandlingar innehållade orden Out-of-sample forecasting.
1. Essays on the Scandinavian Stock Markets
Sammanfattning : This thesis consists of three self-contained empirical essays related to the stock markets in Denmark, Norway, and Sweden.In Essay I, the time-series dynamics of liquidity on the Scandinavian stock exchanges between January 1993 and June 2005 are studied with liquidity indices. LÄS MER
2. Mostly Panel Econometrics : Essays on Asymptotic Analysis and Enhanced Inference
Sammanfattning : This thesis consists of five chapters which focus on panel data theory. Four of them analyze explicit panel data models and one chapter deals with time series forecasting model, where external panel data help us estimate unobserved explanatory variables. LÄS MER
3. Essays in Quantitative Macroeconomics
Sammanfattning : In the first essay, Distortions in the Neoclassical Growth Model: A Cross Country Analysis, I show that shocks that express themselves as total factor productivity and labor income taxes are comparably more synchronized than shocks that resemble distortions to the ability of allocating resources across time and states of the world. These two shocks are also the most important to model. LÄS MER
4. Essays on forecasting and Bayesian model averaging
Sammanfattning : This thesis, which consists of four chapters, focuses on forecasting in a data-rich environment and related computational issues. Chapter 1, “An embarrassment of riches: Forecasting using large panels” explores the idea of combining forecasts from various indicator models by using Bayesian model averaging (BMA) and compares the predictive performance of BMA with predictive performance of factor models. LÄS MER
5. Evaluating Asset-Pricing Models in International Financial Markets
Sammanfattning : This thesis consists of three empirical studies on asset-prices in international financial markets. The purpose is three-fold. First, to evaluate whether good predictions of economic variables may be obtained by pooling information from a broad group of financial variables. LÄS MER