Flexible regression models and relative forecast performance

Article Abstract:

Alternative flexible nonlinear models like Neural Networks, Projection Pursuit models and Random fields regression model approach are examined and their performance is evaluated depending on various measures of out-of-sample forecast accuracy. The results show that the comparison between real-time forecast accuracy based on the flexible regression model and real-time forecast accuracy of linear specification can help in using flexible regression models as a tool for identifying nonlinear components.

Regression analysis, Real-time data processing, Real time data processing

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Extreme value theory and value-at-risk: relative performance in emerging markets

Article Abstract:

The relative performance of Value-at-Risk (VaR) models is examined in relation to the daily stock market returns of the different emerging markets. The Generalized Pareto Distribution and the extreme value theory (EVT) method play a very important role in risk management and in determining the VaR calculations of the emerging markets, thus providing an understanding of the dynamic structure of the emerging markets.

Marketing procedures, Science & research, Research Findings, Financial Services, Finance and Insurance, DEPOSITORY INSTITUTIONS, Asset & Risk Management, Research, Financial services industry, Risk management, Marketing research, Emerging markets, Market research

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The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts

Article Abstract:

The out-of-sample performance of self-exciting threshold autoregressive (SETAR) models in relation to a linear autoregression (AR) and a generalized autoregressive conditional heteroskedastic (GARCH) model is evaluated on the basis of point, interval and density forecasts. GARCH models outperform the SETAR models but the performance of the SETAR models improves under conditionally specific regimes.

Analysis, Foreign exchange rates, Density functionals, Density functional theory, Autoregression (Statistics)

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