Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 20 for “"Out-of-sample forecasting"”.
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The time-variation in style effects in the UK stock market
… extends most previous studies on static version of style effects in the overall period to their time-varying properties in the dynamic macroeconomic conditions and market states in the UK Stock Market. It deals with four research questions on style effects in the UK Stock Market in four empirical …
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Three Essays on Empirical Asset Pricing
… third chapter estimates the conditional variance of daily stock returns using an extended GARCH model with event-related dummy variables to capture the predictable components of volatility change, such as earnings announcements, macroeconomic announcements, day-of-the-week effects, etc. We examine …
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NPL forecasting under a fourier residual modified model: An empirical analysis of an unsecured consumer credit provider in South Africa
Forecasting nonperforming loans (NPLs) is a primary objective for credit providers. NPL forecasts assist in financial budgeting and provisioning for bad debts. The difficulty in accurately identifying the determinants of domestic NPLs has led to a review of time series forecasting techniques. This …
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Creditor coordination effects and bankruptcy prediction
This study investigates the increase in forecasting accuracy of hazard rate bankruptcy prediction models with creditor coordination effects over the forecasting period 1990-2009. A firm's probability of bankruptcy is likely to be marginally affected by creditors' coordination behavior, since …
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Generalized Principal Component Analysis
The primary objective of this dissertation is to extend the classical Principal Components Analysis (PCA), aiming to reduce the dimensionality of a large number of Normal interrelated variables, in two directions. The first is to go beyond the static (contemporaneous or synchronous) covariance …
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Macroeconomic Forecasting: Statistically Adequate, Temporal Principal Components
The main goal of this dissertation is to expand upon the use of Principal Component Analysis (PCA) in macroeconomic forecasting, particularly in cases where traditional principal components fail to account for all of the systematic information making up common macroeconomic and financial …
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A more comprehensive life cycle cost analysis of pavement materials alternatives
… used tool in analyzing the economic viability of highway construction investments. The initial and life-cycle materials costs associated with highway construction involve a high level of uncertainty and therefore warrant extensive and dynamic cost analysis. These uncertainties derive from …
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Can Taylor rule fundamentals predict exchange rates?
… suggests that there are many favourable features of the asset- pricing model of exchange rates incorporating Taylor rules. Against this back- ground, this thesis focuses on the relationship between the exchange rate and Taylor rule fundamentals. The introductory chapter provides a short summary of …
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Exchange rates: macro and micro fundamentals
This thesis aims to examine a number of issues related to exchange rate movements at different time horizons: long-run, in terms of investigating equilibrium real exchange rates; medium-run, in terms of investigating predictability of exchange rates in out-of-sample forecasting contexts; and …
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Detecting macroeconomic impacts on agricultural prices and export sales: a time series forecasting approach
The effect of movements in the real exchange rate on agricultural prices and agricultural export sales is assessed based on the principle of Granger causality. An out-of-sample forecasting procedure is used to conduct tests for Granger causality from the exchange rate to agricultural prices and …
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Essays on Conditional Heteroscedastic Time Series Models with Asymmetry, Long memory, and Structural Changes
<p>"The volatility of asset returns is usually time-varying, necessitating the introduction of models with a conditional heteroskedastic variance structure. In this dissertation, several existing formulations, motivated by the Generalized Autoregressive Conditional Heteroskedastic (GARCH) type …
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Quantifying the Effects of Sentiment and Expectations on the United States Credit Growth
<p>This dissertation examines the role of sentiment and expectations in predicting U.S. credit growth, drawing upon insights from behavioral finance and macroeconomic forecasting. While traditional economic theories emphasize fundamental determinants of credit expansion, growing evidence suggests …
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Spatial perspectives on residential property prices in Sydney
This thesis investigates two aspects of the residential property market: the existence of rational speculative price bubbles in the Sydney housing market and the role of views in the determination of individual residential property prices. Both of these issues are analyzed from a spatial …
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Estimation and forecasting team strength dynamics in football : investigation into structural breaks
This PhD thesis studies the dynamics of team strengths in football. It investigates the presence of structural breaks, which occur when there is a change in parameters that govern dynamics in a time series. In football, such structural breaks occur because of events such as squad changes during …
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Dynamic econometric modeling of the U.S. wheat grain market
… modeling despite the overwhelming popularity of time series approaches in forecasting and dynamic analyses. This dissertation contributes by applying developments in seasonal cointegration and structural-time series analysis (e.g., Zellner and Palm (1974); Hsiao (1997); Lee (1992); Franses and …
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Bond yield modelling and its application in the European Union
Forecasting crises has always been an interesting and important topic for econometricians or statisticians. Literature suggests that government bond yields can be a valid leading indicator for this purpose. This thesis uses government bond yields and applies various models to forecast the crisis …
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Essays in international finance
… first chapter assesses the predictive ability of a comprehensive set of empirical models of exchange rates, in addition to a standard technical trading strategy, on monthly exchange-rate returns for four developed and four emerging countries across different horizons. I implement a rolling …
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Three Essays on Price Analysis of Summer Flounder and China's Soybean Imports
… Openings for Maximum Revenue.” The objective of this project is to (1) estimate the monthly dockside price of summer flounder and identify seasonality in this price; and (2) set up a mathematical programming model to maximize the landing revenue by allocating the federal government quota on …
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Bayesian multivariate time series models for forecasting European macroeconomic series
Research on and debate about 'wise use' of explicitly Bayesian forecasting procedures has been widespread and often heated. This situation has come about partly in response to the dissatisfaction with the poor forecasting performance of conventional methods and partly in view of the development of …
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Estimating and Forecasting the Term Structure of Interest Rates:US and Colombia Analysis
… that exist in the literature on term structure of interest rates. In particular, we explore affine one factor models and polynomial-type approximations such as Nelson and Siegel. Our empirical application considers monthly data of USA and Colombia for estimation and forecasting. We find that …