Lars Spreng
Biographic Data
| ID | 8920201 |
|---|---|
| NAME | Lars Spreng |
| GIVEN NAMES | Lars |
| FAMILY NAME | Spreng |
| SIGNATURE | SPRENG L |
| AFFILIATIONS | Centre for Econometric Analysis and Faculty of Finance Bayes Business School (formerly Cass), London, UK |
| VERIFIED | No |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2023 |
| LATEST PUBLICATION YEAR | 2023 |
| H-INDEX | 0 |
Exchange rates and macroeconomic fundamentals
We examine the relationship between exchange rates and macroeconomic fundamentals using a two‐step maximum likelihood estimator through which we compute time‐varying factor loadings. Factors are obtained as principal components, extracted from vintage macro‐datasets that combine FRED‐MD and OECD databases. Using 14 currencies over 1990–2021, we show that the loadings on the factors vary considerably over time and increase the percentage of explai…
Combining p -values for Multivariate Predictive Ability Testing
In this article, we propose an intersection-union test for multivariate forecast accuracy based on the combination of a sequence of univariate tests. The testing framework evaluates a global null hypothesis of equal predictive ability using any number of univariate forecast accuracy tests under arbitrary dependence structures, without specifying the underlying multivariate distribution. An extensive Monte Carlo simulation exercise shows that our …
No prominent works on this page.
Exchange rates and macroeconomic fundamentals
We examine the relationship between exchange rates and macroeconomic fundamentals using a two‐step maximum likelihood estimator through which we compute time‐varying factor loadings. Factors are obtained as principal components, extracted from vintage macro‐datasets that combine FRED‐MD and OECD databases. Using 14 currencies over 1990–2021, we show that the loadings on the factors vary considerably over time and increase the percentage of explai…
Combining p -values for Multivariate Predictive Ability Testing
In this article, we propose an intersection-union test for multivariate forecast accuracy based on the combination of a sequence of univariate tests. The testing framework evaluates a global null hypothesis of equal predictive ability using any number of univariate forecast accuracy tests under arbitrary dependence structures, without specifying the underlying multivariate distribution. An extensive Monte Carlo simulation exercise shows that our …
Computer Science (2 works) · Econometrics (2 works) · Monetary Policy and Economic Impact (2 works) · Data mining (1 work) · Economics (1 work) · Engineering (1 work) · Exchange rate (1 work) · Financial Risk and Volatility Modeling (1 work) · Forecasting Techniques and Applications (1 work) · Global Financial Crisis and Policies (1 work)