Model uncertainty
Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information
... factor model forecasts particularly ...parameter uncertainty and, in particular, model ...to model the whole of the term structure, parameter uncertainty is likely to be substantial and ...
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A Shrinkage Approach to Model Uncertainty and Asset Allocation
... In this paper, it is assumed that the observations of returns are drawn from identical and independent normal distributions with constant parameters. The asset allocation problem is con- sidered for an investor with ...
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Model Uncertainty and Intertemporal Tax Smoothing
... the model uncertainty due to the preference for robust- ness can help better explain the observed relative volatility of the tax rate and the correlation between government budget deficit and government ...
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Model uncertainty in risk capital measurement
... of model risk proposed by Barrieu and Scandolo (2015), the RR and ECR are functions of the unknown distribution function F ...assess model error by a measure that requires knowledge of the ...parameter ...
22
Investment Model Uncertainty and Fair Pricing
... gap uncertainty exists in the security markets, as the bivariate "Galton’s Error" and its concomitant information gap proves (Journal of Banking & Finance, 23, 1999, ...Knightian uncertainty ...
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Hedge fund pricing and model uncertainty
... competing model selection strategies to equity ...for model uncertainty also improves our ability to identify fund management ...addressing model uncertainty in hedge fund pricing are ...
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Model Uncertainty and Bayesian Model Averaging in Vector Autoregressive Processes
... underlying model used to estimate the response, it is, however, the econometrician’s re- sponsibility to detail the model upon which these estimates ...any uncertainty about the veracity of the ...
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Forecasting substantial data revisions in the presence of model uncertainty
... regression model with the data revision as the dependent variable and the initial measurement as the explanatory ...and model uncertainty are ...
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Quantile forecasts of inflation under model uncertainty
... regression model for ...Bayesian model aver- aging (BMA) and selection (BMS) methods have been traditionally used to deal with model uncertainty in forecasting ...regression model ...
9
Forecasting Substantial Data Revisions in the presence of model uncertainty
... regression model with the data revision as the dependent variable and the initial measurement as the explanatory ...and model uncertainty are ...
20
International Portfolio Allocation under Model Uncertainty
... a model-consistent ...about model misspecification is able to generate a substantial equilibrium home bias in equity holdings, and allows to match other empirical facts regarding the US cross-border ...for ...
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Monetary policy, asset prices and model uncertainty.
... the model, they are, therefore, robust to misspecification in these ...face model uncertainty. This approach to model uncertainty focuses exclusively on the worst-case outcome within a ...
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Modeling model uncertainty
... model uncertainty. Much more could be done to extend the baseline model we use (for example to consider forward- looking behavior) and to use prior beliefs to further restrict the classes of models ...
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Model Uncertainty in Panel Vector Autoregressive Models
... and model selection with large panel vector autoregressions ...jointly model several variables for each country using a VAR, but also allow for linkages between ...to model the manner in which shocks ...
26
Model uncertainty in panel vector autoregressive models
... and model selection with large ...jointly model several variables for each country using a VAR, but also allow for linkages between ...to model the manner in which shocks are transmitted across ...
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Essays on model uncertainty and corporate financial policies
... static model? Before we largely increase the complexity along the path of making model dynamic and thus lose a great amount of tractability which made classic theories, such as the trade-off theory and the ...
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Climate model uncertainty versus conceptual geological uncertainty in hydrological modeling
... the uncertainty on the change in hydraulic head caused by climate (SD climate, bottom row in Table 3) therefore equals the uncertainty on the absolute ...the uncertainty on the absolute head values ...
11
Model uncertainty and the pricing of American options
... on model-independent bounds for exotic options in the presence of known European option ...options, model-free or robust bounds have been identified for barrier options (Brown, Hobson, and Rogers [6]), ...
43
Model uncertainty and the pricing of American options
... the model is mis-specified, since when the portfolio is rebalanced, the hedging securities are necessarily traded at market prices which may differ substantially from model prices; and trading options, as ...
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On Knightian uncertainty models : optimal behavior in presence of model uncertainty
... latter model an increase in ambiguity that is unrelated to fundamental value causes a sell out in the security press- ing the price down and resulting in a flight to ...a model of non-participation in a ...
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