Search Results

Statistical tests for equal predictive ability across multiple forecasting methods,
Daniel Borup and Martin Thyrsgaard, from Department of Economics and Business Economics, Aarhus University (2017)
Keywords: forecast comparison, multivariate tests of equal predictive ability, Giacomini-White test, Diebold-Mariano test, conditional forecast combination

Forecasting ability of the investor sentiment endurance index: The case of oil service stock returns and crude oil prices,
Ling T. He and K.M. Casey, in Energy Economics (2015)
Keywords: Endurance index of oil service investor sentiment; Forecasting ability; Rolling forecast; Accuracy ratio;

Analyst ability and research effort: non-EPS forecast provision as a research quality signal,
Peter F. Pope and Tong Wang, in Review of Accounting Studies (2023)
Keywords: Analysts, Earnings forecasts, Forecasting ability, I/B/E/S, Price target forecasts, Stock recommendations, Capital market reactions, Analyst career outcomes

A comparison of the forecasting ability of ARIMA models,
Simon Stevenson, in Journal of Property Investment & Finance (2007)
Keywords: Forecasting, Accuracy, Real estate

Testing for predictive ability in the presence of structural breaks (in Russian),
Pavel Yaskov, in Quantile (2010)
Keywords: testing for predictive ability, forecast evaluation, structural change

Modeling Baseball Player Ability with a Nested Dirichlet Distribution,
Null Brad, in Journal of Quantitative Analysis in Sports (2009)
Keywords: ability distributions, baseball, nested Dirichlet, forecasting

Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions,
Tae Hwy Lee and Yongmiao Hong, from Econometric Society (2004)
Keywords: Generalized (cross) spectum, Optimal forecasts, Generalized loss functions, Parameter estimation error, Martingale difference, Conditional predictive ability

Forecast performance in the ECB SPF: ability or chance?,
Aidan Meyler, from European Central Bank (2020)
Keywords: bootstrap, forecasting, performance

Forecasting with the New-Keynesian Model: An Experiment with Canadian Data,
Ali Dib and Kevin Moran, from Society for Computational Economics (2005)
Keywords: out-of-sample forecasting ability, estimated DGSE models

Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts,
Barbara Rossi and Tatevik Sekhposyany, from Barcelona School of Economics (2014)
Keywords: forecasting, forecast rationality, regression-based tests of forecasting ability, Greenbook forecasts, survey forecasts, real-time data

Forecast rationality tests in the presence of instabilities, with applications to Federal Reserve and survey forecasts,
Barbara Rossi and Tatevik Sekhposyan, from Department of Economics and Business, Universitat Pompeu Fabra (2014)
Keywords: Forecasting, forecast rationality, regression-based tests of forecasting ability, Greenbook forecasts, survey forecasts, real-time data

Forecast Optimality Tests in the Presence of Instabilities,
Barbara Rossi and Tatevik Sekhposyan, from Duke University, Department of Economics (2011)
Keywords: Forecasting, forecast optimality, regression-based tests of forecasting ability, Greenbook forecasts, survey forecasts, real-time data

Intuitive forecasting and analytical reasoning: does investor personality matter?,
Rupali Misra, Sumita Srivastava and Devinder Kumar Banwet, in Qualitative Research in Financial Markets (2019)
Keywords: Personality, Analytical ability, Intuitive forecasting, Investment efficacy

Out-of-Sample Forecast Tests Robust to the Choice of Window Size,
Barbara Rossi and Atsushi Inoue, from C.E.P.R. Discussion Papers (2011)
Keywords: Predictive ability testing; Forecast evaluation; Estimation window

Out-of-Sample Forecast Tests Robust to Window Size Choice,
Barbara Rossi and Atsushi Inoue, from Duke University, Department of Economics (2011)
Keywords: Predictive Ability Testing, Forecast Evaluation, Estimation Window

Out-of-sample forecast tests robust to the choice of window size,
Barbara Rossi and Atsushi Inoue, from Department of Economics and Business, Universitat Pompeu Fabra (2012)
Keywords: Predictive Ability Testing, Forecast Evaluation, Estimation Window.

All Forecasters Are Not the Same: Time-Varying Predictive Ability across Forecast Environments,
Robert Rich and Joseph Tracy, from Federal Reserve Bank of Cleveland (2021)
Keywords: professional forecasters; survey data; forecast accuracy; point forecasts; density forecasts; persistent heterogeneity

Forecasting world output: the rising importance of emerging economies,
Alessandro Borin, Riccardo Cristadoro, Roberto Golinelli and Giuseppe Parigi, from Bank of Italy, Economic Research and International Relations Area (2012)
Keywords: GDP forecast, emerging and Asian markets, bridge models, forecasting ability

The Forecasting Ability of Correlations Implied in Foreign Exchange Options,
Jose Campa and P.H.K. Chang, from Columbia - Graduate School of Business (1995)
Keywords: EXCHANGE RATE;FORECASTS;ECONOMETRICS;CURRENCIES;INTERNATIONAL FINANCE

The forecast ability of risk-neutral densities of foreign exchange,
Ben Craig and Joachim G. Keller, from Federal Reserve Bank of Cleveland (2004)
Keywords: Foreign exchange futures; options; Economic forecasting

Conditional forecast selection from many forecasts: An application to the Yen/Dollar exchange rate,
Kei Kawakami, in Journal of the Japanese and International Economies (2013)
Keywords: Conditional predictive ability; Exchange rate; Forecasting; Forecast combinations; Model selection;

Conditional Forecast Selection from Many Forecasts: An Application to the Yen/Dollar Exchange Rate,
Kei Kawakami, from The University of Melbourne (2013)
Keywords: Conditional predictive ability; Exchange rate; Forecasting; Forecast combinations; Model selection

How does credit market distortion affect corporate investment efficiency? The role of managerial forecast,
Yizhong Wang, Lifang Chen, Ying Sophie Huang and Yong Li, in Finance Research Letters (2018)
Keywords: Investment efficiency; Credit distortion; Managerial forecast ability;

Do economic variables improve bond return volatility forecasts?,
Shih-Wei Chao, in International Review of Economics & Finance (2016)
Keywords: Bond return volatility; Predictive ability; Forecast combination; Forecast performance decomposition;

On the Trend Recognition and Forecasting Ability of Professional Traders,
Martin Weber, Markus Glaser and Thomas Langer, from C.E.P.R. Discussion Papers (2003)
Keywords: Trend recognition; Forecasting; Conservatism; Overconfidence; Professionals; Financial modelling

On the Trend Recognition and Forecasting Ability of Professional Traders,
Markus Glaser, Thomas Langer and Martin Weber, in Decision Analysis (2007)
Keywords: trend recognition, forecasting, conservatism, overconfidence, professionals, financial modeling

Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods,
Raffaella Giacomini, from Boston College Department of Economics (2002)
Keywords: density forecasting, scoring rules, predictive ability, forecast comparison

Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods,
Raffaella Giacomini, from Department of Economics, UC San Diego (2002)
Keywords: density forecasting, scoring rules, predictive ability, forecast comparison

Forecast Comparisons in Unstable Environments,
Raffaella Giacomini and Barbara Rossi, from Duke University, Department of Economics (2008)
Keywords: Predictive Ability Testing, Instability, Structural Change, Forecast Evaluation

The forecast ability of risk-neutral densities of foreign exchange,
Ben Craig and Joachim Keller, from Deutsche Bundesbank (2005)
Keywords: Risk-neutral densities from option prices, American exchange rate options, Evaluating Density Forecasts, Pentionominal tree, Density evaluation

Forecasting variance using stochastic volatility and GARCH,
Björn Hansson and Peter Hördahl, in The European Journal of Finance (2005)
Keywords: Variance, stochastic volatility, GARCH models, forecasting ability, weekend/holiday effects,

Brokerage M&As and the peer effect on analyst forecast accuracy,
Lan Thi Mai Nguyen, Chee Seng Cheong and Ralf Zurbruegg, in International Review of Financial Analysis (2021)
Keywords: Peer effect; Forecast accuracy; Broker M&A; Analyst ability;

Modeling and forecasting the volatility of petroleum futures prices,
Sang Hoon Kang and Seong-Min Yoon, in Energy Economics (2013)
Keywords: DM test; Forecasting ability; Long memory; Persistence; Petroleum futures;

Normal Backwardation, Forecasting, and the Returns to Commodity Futures Traders,
Charles S. Rockwell, from Palgrave Macmillan (1976)
Keywords: Future Market, Future Price, Small Market, Price Trend, Forecast Ability

Designing and Forecasting the Differentiated Carbon Tax Scheme Based on the Principle of Ability to Pay,
Lianbiao Cui and Ma-Lin Song, in Asia-Pacific Journal of Operational Research (APJOR) (2017)
Keywords: Differentiated carbon tax scheme, carbon tariffs, energy version of global trade analysis model, ability to pay

How Analystss Ability Affects Forecast Timing Under Bias and Uncertainty?,
Yannick Malevergne and Hind Sami, from HAL (2023)
Keywords: Analyst Forecasts,Bias,Accuracy,Timing

Global real estate mutual funds: regional exposure and forecasting skill,
Javier Rodríguez and Herminio Romero, in International Journal of Managerial Finance (2014)
Keywords: Forecasting ability, Global real estate mutual funds, Mutual fund performance

The VIX Index: Forecasting Power and Perfomance in a Risk Management Framework,
Alessio Bongiovanni, Paola De Vincentiis and Eleonora Isaia, in Journal of Financial Management, Markets and Institutions (2016)
Keywords: VIX; historical volatility; GARCH models; forecast ability; information content.

A COMPARATIVE ANALYSIS OF THE FORECASTING ABILITY OF CLASSIC ECONOMETRIC AND FUZZY MODELS,
V. Profillidis and G. Botzoris, in Fuzzy Economic Review (2005)
Keywords: demand, econometric, forecast, fuzzy, model, transportation planning

The financial market's ability to forecast economic growth: information from sectoral movements,
Hardik Marfatia, in Journal of Economic Studies (2023)
Keywords: Forecasting economic growth, Emerging economies, Stock markets, Combination forecasts, C22, C53, E37, F47, O47

Anchoring: A valid explanation for biased forecasts when rational predictions are easily accessible and well incentivized?,
Lukas Meub, Till Proeger and Kilian Bizer, from University of Goettingen, Department of Economics (2013)
Keywords: anchoring, cognitive ability, forecasting, heuristics and biases, incentives, laboratory experiment

Predicting relative forecasting performance: An empirical investigation,
Eleonora Granziera and Tatevik Sekhposyan, in International Journal of Forecasting (2019)
Keywords: Conditional predictive ability; Model selection; Model averaging; Inflation forecasts; Output growth forecasts;

Comparing forecast accuracy: A Monte Carlo investigation,
Fabio Busetti and Juri Marcucci, in International Journal of Forecasting (2013)
Keywords: Forecast encompassing; Model evaluation; Nested models; Equal predictive ability; Forecast evaluation;

Determinants and usefulness of analysts' cash flow forecasts: evidence from Australia,
Kamran Ahmed and Muhammad Jahangir Ali, in International Journal of Accounting & Information Management (2013)
Keywords: Cash flow, Earnings, Financial forecasting, Cash flow forecasts, Earnings forecasts, Analysts' forecasts, Usefulness of earnings, Predictive ability of operating cash flows

A re-examination of analysts’ differential target price forecasting ability,
Patrice Fontaine and Tristan Roger, in Finance (2020)
Keywords: financial analysts, target prices, forecasting abilities, expected accuracy, persistence of volatility

Testing the Out-of-Sample Forecasting Ability of a Financial Conditions Index for South Africa,
Kirsten Thompson, Renee van Eyden and Rangan Gupta, from University of Pretoria, Department of Economics (2013)
Keywords: Financial conditions index, forecast encompassing, data-mining, financial crisis

Conditional Predictive Ability of Exchange Rates in Long Run Regressions,
Pablo Pincheira, in Revista de Analisis Economico – Economic Analysis Review (2013)
Keywords: Exchange rate predictability, conditional predictive ability, Bayesian shrinkage, ridge regression, forecast evaluation

Application of Single Exponential Smoothing in Forecasting Number of New Students Acceptance,
Noveri Lysbetti Marpaung, Kelvin Rainey Salim, Rahyul Amri and Edy Ervianto, in International Journal of Technology and Engineering Studies (2019)
Keywords: Forecasting system, single exponential smoothing method, alpha constant, MAPE value, forecasting ability level

Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting,
Grzegorz Marcjasz, Tomasz Serafin and Rafał Weron, in Energies (2018)
Keywords: electricity price forecasting; forecast averaging; calibration window; autoregression; variance stabilizing transformation; conditional predictive ability

Do socially responsible managers forecast sales more accurately?,
Panagiotis Chronopoulos, in Journal of Financial Reporting and Accounting (2021)
Keywords: Corporate social responsibility, Sales forecasts, Managerial ability, Forecast accuracy, Social responsibility

Selection of calibration windows for day-ahead electricity price forecasting,
Grzegorz Marcjasz, Tomasz Serafin and Rafał Weron, from Hugo Steinhaus Center, Wroclaw University of Science and Technology (2018)
Keywords: Electricity price forecasting; Forecast averaging; Calibration window; Autoregression; Variance stabilizing transformation; Conditional predictive ability

India VIX and Forecasting Ability of Symmetric and Asymmetric GARCH Models,
Maithili S Naik and Reddy Y.v, in Asian Economic and Financial Review (2021)
Keywords: India VIX, Volatility forecasting, Implied volatility, Asymmetric GARCH, Volatility index, Symmetric GARCH.

Investigating adaptive-ECMS with velocity forecast ability for hybrid electric vehicles,
Chao Sun, Fengchun Sun and Hongwen He, in Applied Energy (2017)
Keywords: Adaptive ECMS; Velocity forecast; Neural network; Fuel economy; Hybrid electric vehicles;

Short-term Forecasting Ability of Hybrid Models for BRIC Currencies,
Latha Sreeram and Samie Ahmed Sayed, in Global Business Review (2024)
Keywords: Exchange rate return; hybrid model; artificial neural network; exponential smoothing; automatic forecasting; least square support vector machine

Changes in analyst following for less covered firms accompanying Regulation Fair Disclosure: the roles of ability and industry experience,
Hueiling Chen, Cheng-Tsu Huang and Hsiou-Wei W. Lin, in Review of Quantitative Finance and Accounting (2016)
Keywords: Regulation Fair Disclosure, Analyst coverage, Analyst ability, Industry experience, Forecast properties

On the forecasting accuracy of multivariate GARCH models,
Sébastien Laurent, Jeroen Rombouts and Francesco Violante, from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010)
Keywords: variance matrix, forecasting, multivariate GARCH, loss function, model confidence set, superior predictive ability

Statistical tests for multiple forecast comparison,
Roberto Mariano and Daniel Preve, in Journal of Econometrics (2012)
Keywords: Forecast comparison; Multivariate tests of equal predictive ability; Diebold–Mariano test; Finite-sample correction;

Evaluating forecast performance with state dependence,
Florens Odendahl, Barbara Rossi and Tatevik Sekhposyan, in Journal of Econometrics (2023)
Keywords: State dependence; Forecast evaluation; Predictive ability testing; Moment-based tests; Pockets of predictability;

Evaluating Forecast Performance with State Dependence,
Florens Odendahl, Barbara Rossi and Tatevik Sekhposyan, from Barcelona School of Economics (2021)
Keywords: State Dependence, forecast evaluation, predictive ability testing, moment-based tests; pockets of predictability

Threshold MIDAS Forecasting of Inflation Rate,
Chaoyi Chen, Yiguo Sun and Yao Rao, from University of Liverpool, Department of Economics (2023)
Keywords: Forecasting; High-frequency index; Mixed data sampling; Superiority predictive ability test; Threshold regression

On the Forecasting Accuracy of Multivariate GARCH Models,
Sébastien Laurent, Jeroen Rombouts and Francesco Violante, from CIRPEE (2010)
Keywords: Variance matrix, forecasting, multivariate GARCH, loss function, model confidence set, superior predictive ability

Evaluating forecast performance with state dependence,
Florens Odendahl, Barbara Rossi and Tatevik Sekhposyan, from Department of Economics and Business, Universitat Pompeu Fabra (2021)
Keywords: State dependence, forecast evaluation, predictive ability testing, moment-based tests; pockets of predictability

Forecasting Ability but No Profitability: an Empirical Evaluation of Genetic Algorithm-Optimized Technical Trading Rules,
Robert Pereira, from School of Economics, La Trobe University (1999)
Keywords: Forecasts, Trade, Shareholders

Electricity price forecasting,
Rafał Weron and Florian Ziel, from Hugo Steinhaus Center, Wroclaw University of Science and Technology (2018)
Keywords: Electricity price forecasting; Probabilistic forecast; Ensemble forecast; Day-ahead market; Intraday market; Regression; Computational intelligence; Reduced-form model; Multi-agent simulation; Model evaluation; Predictive ability test

Forecasting long-term and short-term crude oil price: a comparison of the predictive abilities of competing models,
Zhongbao Zhou, Ke Duan, Ling Lin and Qianying Jin, in International Journal of Global Energy Issues (2015)
Keywords: WTI crude oil prices; price forecasting; predictive ability; long-term forecasts; short-term forecasts; EGARCH models; TARCH models; modelling.

Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting,
Tomasz Serafin, Bartosz Uniejewski and Rafał Weron, in Energies (2019)
Keywords: electricity price forecasting; predictive distribution; combining forecasts; average probability forecast; calibration window; autoregression; pinball score; conditional predictive ability

Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting,
Tomasz Serafin, Bartosz Uniejewski and Rafał Weron, from Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology (2019)
Keywords: Electricity price forecasting; Predictive distribution; Combining forecasts; Average probability forecast; Calibration window; Autoregression; Pinball score; Conditional predictive ability

Technology Based Ability and its Relationship with Organizational Innovation,
Ali Margir, Vahied Regie, Zakaria Surizehi and Nahid Tereh Eiduzehi, in International Journal of Academic Research in Business and Social Sciences (2014)
Keywords: Technology Based Ability, Investment, Productive Ability, Communication Ability, Organizational Ability

The Measurement of Student Ability in Modern Assesmsent Systems,
Jesse Rothstein and B Jacob, from Department of Economics, Institute for Business and Economic Research, UC Berkeley (2023)
Keywords: Student Ability

Managerial ability and debt maturity,
Joye Khoo and Adrian (Wai Kong) Cheung, in Journal of Contemporary Accounting and Economics (2022)
Keywords: Managerial ability; Debt maturity;

Retirement and Cognitive Ability in Korea,
Hyejin Kim, in Korean Economic Review (2019)
Keywords: Cognitive Ability, Retirement

Earnings, Schooling, and Ability Revisited,
David Card, from Princeton University, Department of Economics, Industrial Relations Section. (1994)
Keywords: returns to education, ability bias

FORECASTING LONG-MEMORY VOLATILITY OF THE AUSTRALIAN FUTURES MARKET,
Seong-Min Yoon, Sang Hoon Kang, Sung-Jin Cho, Gyun Woo and Jeong-Hoon Ji, in Theoretical and Applied Economics (2009)
Keywords: diebold-mariano test; forecasting ability; long memory; lo's modified R/S analysis; SPI futures.

Adaptive forecasting of the EURIBOR swap term structure,
Oliver J. Blaskowitz and Helmut Herwartz, from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2008)
Keywords: Principal components, ex-ante forecasting, EURIBOR swap rates, term structure, directional accuracy, big hit ability

Comparing forecast accuracy: A Monte Carlo investigation,
Fabio Busetti, Juri Marcucci and Giovanni Veronese, from Bank of Italy, Economic Research and International Relations Area (2009)
Keywords: Forecast encompassing, Model evaluation, Nested models, Non-nested models, Equal predictive ability

The value of managerial ability and general ability for inventor CEOs,
Zhilu Lin, Pankaj Patel and Pejvak Oghazi, in Journal of Business Research (2021)
Keywords: CEOs; Patents; Human capital; General ability; Managerial ability;

Forecasting Chinese industry return volatilities with RMB/USD exchange rate,
Zhifeng Dai, Huan Zhu and Xiaodi Dong, in Physica A: Statistical Mechanics and its Applications (2020)
Keywords: Industry return volatility; RMB/USD exchange rate fluctuation; Prediction ability; Forecasting;

Equal predictive ability tests based on panel data with applications to OECD and IMF forecasts,
Oguzhan Akgun, Alain Pirotte, Giovanni Urga and Zhenlin Yang, in International Journal of Forecasting (2024)
Keywords: Cross-sectional dependence; Forecast evaluation; Hypothesis testing;

The global component of headline and core inflation in emerging market economies and its ability to improve forecasting performance,
Lenin Arango-Castillo, María José Orraca and G. Stefano Molina, in Economic Modelling (2023)
Keywords: Inflation; Principal components; Forecasting and prediction methods;

The forecasting ability of solar and space weather data on NASDAQ’s finance sector price index volatility,
Theodoros Daglis, Konstantinos Konstantakis, Panayotis Michaelides and Theodoulos Eleftherios Papadakis, in Research in International Business and Finance (2020)
Keywords: Solar activity; Space weather; Volatility; Forecasting;

Cognitive Ability and Perceived Disagreement in Learning,
Piotr Evdokimov and Umberto Garfagnini, from CRC TRR 190 Rationality and Competition (2023)
Keywords: cognitive ability; disagreement; learning;

Managerial ability and goodwill impairment,
Li Sun, in Advances in accounting (2016)
Keywords: Managerial ability; Goodwill; Goodwill impairment;

Ability Drain,
Maurice Schiff, from European University Institute (2015)
Keywords: Migration, points system, vetting system, ability drain, brain drain, and gain

The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies?,
Anastasios Evgenidis, Stephanos Papadamou and Costas Siriopoulos, in Journal of Business Research (2020)
Keywords: Business cycle forecasting; Yield spread; Meta-analysis; Leading indicators;

Forecasting Ability but No Profitability: an Empirical Evaluation of Genetic Algorithm-Optimized Technical Trading Rules,
Robert Pereira, from School of Economics, La Trobe University (1999)
Keywords: Forecasts, Trade, Shareholders EDIRC Provider-Institution: RePEc:edi:smlatau

The forecast ability of a belief-based momentum indicator in full-day, daytime, and nighttime volatilities of Chinese oil futures,
Yan Li, Luu Duc Toan Huynh, Yongan Xu and Hao Liang, in Energy Economics (2023)
Keywords: Belief-based momentum; Chinese oil futures market; HAR; Volatility forecasting;

The forecasting ability of a cointegrated VAR system of the UK tourism demand for France, Spain and Portugal,
Maria De Mello and Kevin Nell, in Empirical Economics (2005)
Keywords: Tourism demand, cointegration, equal forecasting accuracy tests, C5, D1,

Information combination and forecast (st)ability evidence from vintages of time-series data,
Matteo Ciccarelli and Carlo Altavilla, from European Central Bank (2007)
Keywords: data and model uncertainty, forecast combination, real-time data

Multiple Days Ahead Realized Volatility Forecasting: Single, Combined and Average Forecasts,
Stavros Degiannakis, from University Library of Munich, Germany (2018)
Keywords: averaging forecasts, combining forecasts, heterogeneous autoregressive, intra-day data, long memory, model confidence set, predictive ability, realized volatility, ultra-high frequency

Multiple days ahead realized volatility forecasting: Single, combined and average forecasts,
Stavros Degiannakis, in Global Finance Journal (2018)
Keywords: Averaging forecasts; Combining forecasts; Heterogeneous autoregressive; Intra-day data; Long memory; Model confidence set; Predictive ability; Realized volatility; Ultra-high frequency;