Machine Learning in Finance and Macroeconomics
Paper Session
Friday, Jan. 7, 2022 10:00 AM - 12:00 PM (EST)
- Chair: Marcelle Chauvet, University of California-Riverside
On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Interest Rates
Abstract
We propose methods for constructing regularized mixtures of density forecasts. We explore a variety of objectives and regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts. All individual inflation forecasters (even the ex post best forecaster) are outperformed by our regularized mixtures. From the Great Recession onward, the optimal regularization tends to move density forecasts' probability mass from the centers to the tails, correcting for overconfidence.(Re-)Imag(in)ing Price Trends
Abstract
TBAAmbiguity with Machine Learning: An Application to Portfolio Choice
Abstract
TBAJEL Classifications
- C0 - General
- G0 - General