Ulmenstr. 69
Rostock, 18057
Germany
University of Rostock - Department of Economics
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Topic Modeling, Big Data, Return Predictability, Text as Data
Exchange Rates, Bayesian Vector Autoregression, Forecasting, Dynamic Portfolio Allocation, Economic Fundamentals
Dynamic portfolio choice, Predictability, Downside risk control, Estimation error, Real-time investor, Futures markets, Bayesian learning
Equity premium prediction; Density forecasting; Bayesian Analysis; Forecast combination; Model uncertainty; Time-varying parameter models; Stochastic volatility; Asset allocation; Asset pricing
Shrinkage; Time-varying parameter models; Exchange rate forecasting
Out-Of-Sample Robustness, Estimation Error, Risk Management, Downside Risk, Asset Allocation
Portfolio choice; Combination of estimators; Ensemble learning; Estimation risk
Feature selection, Signal-to-noise ratio, Shrinkage, Forecast combinations
Pathwise confidence bands; Mixed-integer optimization
Aggregate Stock Returns, Dynamic Subset Forecast Combination, Textual Data, Estimation Error
Admissibility, Closed-End Fund Puzzle, discount, Fundamental Theorem of Asset Pricing, maximal strategy, net asset value, no arbitrage, premium.