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UID:event-7768@www.amse-aixmarseille.fr
DTSTAMP:20260531T042138Z
CREATED:20260531T042138Z
LAST-MODIFIED:20260531T042138Z
STATUS:CONFIRMED
SEQUENCE:0
SUMMARY:job market seminar - André Souza
DTSTART:20210118T103000Z
DTEND:20210118T114500Z
DESCRIPTION:This paper introduces composite absolute value and sign (CAVS) 
 forecasts\, a nonlinear framework that combines forecasts of the sign and a
 bsolute value of a time series into conditional mean forecasts. In contrast
  to linear models\, the proposed framework allows different predictors to s
 eparately impact the sign and absolute value of the target series. Among ot
 her results\, I show that the conditional mean can be accurately approximat
 ed by the product of the mean squared error optimal sign and absolute value
  forecasts. An empirical application using the FRED-MD dataset shows that C
 AVS forecasts substantially outperform linear forecasts for series that exh
 ibit persistent volatility dynamics\, such as output and interest rates.\n\
 nPlus d'informations: https://www.amse-aixmarseille.fr/en/events/andr%C3%A9
 -souza-0
URL;VALUE=URI:https://www.amse-aixmarseille.fr/en/events/andr%C3%A9-souza-0
TRANSP:OPAQUE
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