Search Results - subject:"Forecast"

A hybrid model for forecasting realized volatility based on heterogeneous autoregressive model and support vector regression

Zhuo, Yue; Morimoto, Takayuki - In: Risks : open access journal 12 (2024) 1, pp. 1-16

vector regression (SVR) model to forecast realized volatility (RV). The first model is a residual-type model, where the RV is …

Persistent link: https://www.econbiz.de/10014480965

Does IFRS information on tax loss carryforwards and negative performance improve predictions of earnings and cash flows?

Dreher, Sandra; Eichfelder, Sebastian; Noth, Felix - In: Journal of business economics : JBE 94 (2024) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10014494375

LSTM-based coherent mortality forecasting for developing countries

Garrido, José; Shang, Yuxiang; Xu, Ran - In: Risks : open access journal 12 (2024) 2, pp. 1-24

This paper studies a long short-term memory (LSTM)-based coherent mortality forecasting method for developing countries or regions. Many of such developing countries have experienced a rapid mortality decline over the past few decades. However, their recent mortality development trend is not...

Persistent link: https://www.econbiz.de/10014497392

Navigating inflation challenges : AI-based portfolio management insights

Bareith, Tibor; Tatay, Tibor; Vancsura, László - In: Risks : open access journal 12 (2024) 3, pp. 1-16

forecast inflation. We also use artificial intelligence to forecast stock index changes. Based on the forecasts, we propose … investigate the predictability of inflation. Our results suggest that the average error of the inflation forecast is a quarter of … that of the stock market index forecast. Inflation developments have a fundamental impact on equity and government bond …

Persistent link: https://www.econbiz.de/10014497442

Forecast combination puzzle in the HAR model

Clements, Adam; Vasnev, Andrey L - In: Journal of forecasting 43 (2024) 1, pp. 118-137

Persistent link: https://www.econbiz.de/10014443188

The asymmetric volatility spillover across Shanghai, Hong Kong and the U.S. stock markets : a regime weighted measure and its forecast inference

Sheng, Lin Wen; Uddin, Mohammed Gazi Salah; Sen, Ding; … - In: International review of financial analysis 91 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014446963

Is there hope for the expectations hypothesis?

Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel - 2024

Most macroeconomic models impose a tight link between expected future short rates and the term structure of interest rates via the expectations hypothesis (EH). While the EH has been systematically rejected in the data, existing work evaluating the EH generally assumes either full-information...

Persistent link: https://www.econbiz.de/10014519064

A joint impulse response function for vector autoregressive models

Wiesen, Thomas F. P.; Beaumont, Paul Michael - In: Empirical economics : a quarterly journal of the … 66 (2024) 4, pp. 1553-1585

Persistent link: https://www.econbiz.de/10014519875

Quantifying qualitative survey data with panel data structure

Botsis, Alexandros; Görtz, Christoph; Sakellarēs, … - 2024

Persistent link: https://www.econbiz.de/10014520400

Understanding inflation expectations : data, drivers and policy implications

Brázdik, František; Keseliová, Tatiana; Musil, Karel; … - 2024

Persistent link: https://www.econbiz.de/10014521243