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1	Modelování Výnosů Akcií s Ohledem na Nejistotu: Frekventistická Průměrovací Metoda / Stock Return Predictability and Model Uncertainty: A Frequentist Model Averaging Approach Pacák, Vojtěch January 2019 (has links) The model uncertainty is a phenomenon where general consensus about the form of specific model is unclear. Stock returns perfectly meet this condition, as extensive literature offers diverse methods and potential drivers without a clear winner among them. Relatively recently, averaging techniques emerged as a possible solution to such scenarios. The two major averaging branches, Bayesian (BMA) and Frequentist (FMA) averaging, naturally deal with uncertainty by averaging over all model candidates rather than choosing the "best" one of them. We focus on FMA and apply this method to our data from U.S. market about S&P 500 index, that I help to explain with the set of eleven explanatory variables chosen in accordance with related literature. To preserve a real-world applicability, I use rolling window scheme to regularly update data in the fitting model for quarterly based re- estimation. Consequently, predictions are obtained with the use of most recent data. Firstly, we find out that simple historical average model can be beaten with a standard model selection approach based on AIC value, with variables as Dividend Yield, Earnings ratio, and Book-to-Market value proving consistently as most significant across quarterly models. With FMA techniques, I was not able to consistently beat the benchmark...
2	Estimating and Correcting the Effects of Model Selection Uncertainty / Estimating and Correcting the Effects of Model Selection Uncertainty Nguefack Tsague, Georges Lucioni Edison 03 February 2006 (has links) No description available. 310 Statistik LCB 020 Economics and Management Science Modellauswahl Modellunsicherheit Modellauswahlwahrscheinlichkeit Post-model-selection Schätzung Schlussfolgerung Bayesianische Modellmittelung (BMA) frequentistische Modellmittelung Akaike-Gewichte Bootstrap. Model selection Model uncertainty Model selection probability Post-model-selection estimation Inference Bayesian model averaging Frequentist model averaging Akaike weights Bootstrap. 83.03

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Modelování Výnosů Akcií s Ohledem na Nejistotu: Frekventistická Průměrovací Metoda / Stock Return Predictability and Model Uncertainty: A Frequentist Model Averaging Approach

Estimating and Correcting the Effects of Model Selection Uncertainty / Estimating and Correcting the Effects of Model Selection Uncertainty