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Short-term forecasting with mixed-frequency data : a MIDASSO approach
Siliverstovs, Boriss - 2015
regression used in Bai and Ng (2008), called the elastic net (Zou and Hastie, 2005). We illustrate our approach by forecasting …
Persistent link: https://www.econbiz.de/10010498420
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Identification and critical time forecasting of real estate bubbles in the USA and Switzerland
Ardila, Diego; Sanadgol, Dorsa; Cauwels, Peter; … - 2014
We present a hybrid model for diagnosis and critical time forecasting of real estate bubbles. The model combines two …, 35, and 90 national-level macroeconomic time series and a dynamic forecasting methodology. Empirical results suggests …
Persistent link: https://www.econbiz.de/10010411858
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Log-periodic power law and genelized hurst exponent analysis in estimating an asset bubble bursting time
Wątorek, Marcin; Stawiarski, Bartosz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 3, pp. 49-58
We closely examine and compare two promising techniques helpful in estimating the moment an asset bubble bursts. Namely, the Log-Periodic Power Law model and Generalized Hurst Exponent approaches are considered. Sequential LPPL fitting to empirical financial time series exhibiting evident bubble...
Persistent link: https://www.econbiz.de/10011616763
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Improving the estimation and predictions of small time series models
Liu-Evans, Gareth - In: Journal of time series econometrics 15 (2023) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10014288356
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Forecasting inflation in Mongolia : a dynamic model averaging approach
Doojav, Gan-Ochir; Luvsannyam, Davaajargal - In: Journal of time series econometrics 15 (2023) 1, pp. 27-48
Persistent link: https://www.econbiz.de/10014288359
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Introducing the Euro-STING: Short-Term Indicator of Euro Area Growth
Camacho, Maximo; Pérez-Quirós, Gabriel - C.E.P.R. Discussion Papers - 2009
combine the best forecasting tools with the possibility of incorporating their own judgement. In this context, we provide …
Persistent link: https://www.econbiz.de/10005034764
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Testing the monetary model for exchange rate determination in South Africa : evidence from 101 years of data
De Bruyn, Riané; Gupta, Rangan; Stander, Lardo - In: Contemporary economics 7 (2013) 1, pp. 19-32
walk model suggests that the forecasting performance of the monetary model is superior. …
Persistent link: https://www.econbiz.de/10009770376
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Are CDS spreads predictable? An analysis of linear and non-linear forecasting models
Avino, Davide; Nneji, Ogonna - In: International Review of Financial Analysis 34 (2014) C, pp. 262-274
This paper investigates the forecasting performance for CDS spreads of both linear and non-linear models by analysing …
Persistent link: https://www.econbiz.de/10010931482
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SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
Dijk, Dick van; Terasvirta, Timo; Franses, Philip Hans - In: Econometric Reviews 21 (2002) 1, pp. 1-47
several of its variants. We put emphasis on new methods for testing for STAR nonlinearity, model evaluation, and forecasting …
Persistent link: https://www.econbiz.de/10005292341
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Volatility regimes, asymmetric basis effects and forecasting performance: An empirical investigation of the WTI crude oil futures market
Chang, Kuang-Liang - In: Energy Economics 34 (2012) 1, pp. 294-306
asymmetric basis effects can improve the forecasting accuracy. The main merit of the empirical model is that the basis effect is …. Finally, the regime switches and asymmetric basis effects play decisive roles in forecasting return, volatility and tail …
Persistent link: https://www.econbiz.de/10010868713