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Unspanned macroeconomic factors in the yield curve
Coroneo, Laura; Giannone, Domenico; Modugno, Michele - Federal Reserve Board (Board of Governors of the … - 2014
In this paper, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of...
Persistent link: https://www.econbiz.de/10010886225
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The Impact of Jumps and Leverage in Forecasting Co-Volatility
Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2015
__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects … for forecasting weekly and monthly horizons. …
Persistent link: https://www.econbiz.de/10011274348
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The information content of the embedded deflation pption in TIPS
Grishchenko, Olesya V.; Vanden, Joel M.; Zhang, Jianing - Federal Reserve Board (Board of Governors of the … - 2011
In this paper we estimate the value of the embedded option in U.S. Treasury Inflation Protected Securities (TIPS). The option value exhibits significant time variation that is correlated with periods of deflationary expectations. We use our estimated option values to construct an embedded option...
Persistent link: https://www.econbiz.de/10009395282
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On the use of installed base information for spare parts logistics: a revieuw of ideas and industry practice
Dekker, Rommert; Pinçe, Pinçe, C.; Zuidwijk, … - Faculteit der Economische Wetenschappen, Erasmus … - 2010
installed based information and provide several ways in which installed base forecasting can be used. We discuss cases of … installed based forecasting at four companies and list the issues involved. Moreover, we provide some models to assess the value …
Persistent link: https://www.econbiz.de/10010837719
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Modeling the impact of forecast-based regime switches on macroeconomic time series
Paap, Richard; Bel, Bel, K. - Faculteit der Economische Wetenschappen, Erasmus … - 2013
Forecasts of key macroeconomic variables may lead to policy changes of governments, central banks and other economic agents. Policy changes in turn lead to structural changes in macroeconomic time series models. To describe this phenomenon we introduce a logistic smooth transition autoregressive...
Persistent link: https://www.econbiz.de/10010837733
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Experts' adjustment to model-based forecasts: Does the forecast horizon matter?
Franses, Philip Hans; Legerstee, Legerstee, R. - Faculteit der Economische Wetenschappen, Erasmus … - 2007
Experts may have domain-specific knowledge that is not included in a statistical model and that can improve forecasts. While one-step-ahead forecasts address the conditional mean of the variable, model-based forecasts for longer horizons have a tendency to convert to the unconditional mean of a...
Persistent link: https://www.econbiz.de/10010837737
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A multivariate STAR analysis of the relationship between money and output
van Dijk, Dick; Franses, Philip Hans; Rothman, P. - Faculteit der Economische Wetenschappen, Erasmus … - 1999
-of-sample forecasting exercise to study money-income Granger causality, both linear and nonlinear, we believe is new to the literature. The … forecasting results do not suggest that money is nonlinearly Granger causal for output. In fact, they show that by allowing money … to nonlinearly Granger cause output, the forecasting performance of the STVECM is significantly worsened. …
Persistent link: https://www.econbiz.de/10010837854
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Forecasting 1 to h steps ahead using partial least squares.
Franses, Philip Hans - Faculteit der Economische Wetenschappen, Erasmus … - 2006
(p) model for all forecast horizons and different AR models for different horizons. Representation, estimation and forecasting …
Persistent link: https://www.econbiz.de/10010837899
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Seasonal smooth transition autoregression
Franses, Philip Hans; van Dijk, Dick; de Bruin, de Bruin, P. - Faculteit der Economische Wetenschappen, Erasmus … - 2000
out-of-sample forecasting where we compare forecasts from the SEASTAR models with forecasts from nested models. It turns …
Persistent link: https://www.econbiz.de/10010837909
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Impulse-response analysis of the market share attraction model
Franses, Philip Hans; Fok, Fok, D. - Faculteit der Economische Wetenschappen, Erasmus … - 1999
We propose a simulation-based technique to calculate impulse-response functions and their confidence intervals in a market share attraction model [MCI]. As an MCI model implies a reduced form model for the logs of relative market shares, simulation techniques have to be used to obtain the...
Persistent link: https://www.econbiz.de/10010837934