| _version_ | 1867009475077996544 |
|---|---|
| author | Jozef Baruník Luboš Hanus |
| author_facet | Jozef Baruník Luboš Hanus Jozef Baruník Luboš Hanus |
| collection | Wiley Open Access |
| contents | Taming Data‐Driven Probability Distributions Jozef Baruník Luboš Hanus Journal of Forecasting ABSTRACTWe propose a deep learning approach to probabilistic forecasting of macroeconomic and financial time series. By allowing complex time series patterns to be learned from a data‐rich environment, our approach is useful for decision making that depends on the uncertainty of a large number of economic outcomes. In particular, it is informative for agents facing asymmetric dependence of their loss on the outcomes of possibly non‐Gaussian and nonlinear variables. We demonstrate the usefulness of the proposed approach on two different datasets where a machine learns patterns from the data. First, we illustrate the gains in predicting stock return distributions that are heavy tailed and asymmetric. Second, we construct macroeconomic fan charts that reflect information from a high‐dimensional dataset. 10.1002/for.3208 http://creativecommons.org/licenses/by/4.0/ |
| doi_str_mv | 10.1002/for.3208 |
| format | Artículo Open Access |
| id | wiley_oa_10_1002_for_3208 |
| institution | Wiley Open Access |
| license_str_mv | http://creativecommons.org/licenses/by/4.0/ |
| publishDate | 2024 |
| publisher | Wiley |
| record_format | wiley_oa |
| spellingShingle | Taming Data‐Driven Probability Distributions Jozef Baruník Luboš Hanus Journal of Forecasting Taming Data‐Driven Probability Distributions Jozef Baruník Luboš Hanus Journal of Forecasting ABSTRACTWe propose a deep learning approach to probabilistic forecasting of macroeconomic and financial time series. By allowing complex time series patterns to be learned from a data‐rich environment, our approach is useful for decision making that depends on the uncertainty of a large number of economic outcomes. In particular, it is informative for agents facing asymmetric dependence of their loss on the outcomes of possibly non‐Gaussian and nonlinear variables. We demonstrate the usefulness of the proposed approach on two different datasets where a machine learns patterns from the data. First, we illustrate the gains in predicting stock return distributions that are heavy tailed and asymmetric. Second, we construct macroeconomic fan charts that reflect information from a high‐dimensional dataset. 10.1002/for.3208 http://creativecommons.org/licenses/by/4.0/ |
| title | Taming Data‐Driven Probability Distributions |
| topic | Journal of Forecasting |
| url | https://onlinelibrary.wiley.com/doi/10.1002/for.3208 |