Ulmenstr. 69
Rostock, 18057
Germany
University of Rostock - Department of Economics
SSRN RANKINGS
in Total Papers Downloads
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.
