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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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Macroeconomic forecasting during the Great Recession: The return of non-linearity?
Ferrara, L.; Marcellino, M.; Mogliani, M. - Banque de France - 2012
The debate on the forecasting ability in economics of non-linear models has a long history, and the Great Recession … provides us with an opportunity for a re-assessment of the forecasting performance of several classes of non-linear models … some countries and/or variables appear to be more adapted to non-linear forecasting. …
Persistent link: https://www.econbiz.de/10010550857
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On combining revealed and stated preferences to forecast customer behaviour: three case studies
Franses, Philip Hans; Verhoef, Peter - Faculteit der Economische Wetenschappen, Erasmus … - 2002
Many companies collect stated preference data (SP) like intentions and satisfaction as well as revealed preference data (RP) like actual purchasing behavior. It seems relevant to examine the predictive usefulness of this information for future revealed preferences, that is, customer behavior. In...
Persistent link: https://www.econbiz.de/10010731640
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Forecasting with periodic autoregressive time series models
Franses, Philip Hans; Paap, Richard - Faculteit der Economische Wetenschappen, Erasmus … - 1999
This paper is concerned with forecasting univariate seasonal time series data using periodic autoregressive models. We …
Persistent link: https://www.econbiz.de/10010731727
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Inventory control with product returns: the impact of (mis)information
de Brito, Marisa P.; van der Laan, Erwin - Faculteit der Economische Wetenschappen, Erasmus … - 2002
Product returns are often characterized by a dual uncertainty on time and quantity. In the literature on inventory management with product returns, best forecasts have been associated with methods that use the most informationregarding product return history. In practice however, data is often...
Persistent link: https://www.econbiz.de/10010731790
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Modelling sustainable international tourism demand to the Brazilian Amazon
McAleer, Michael; Divino, Divino, J.A. - Faculteit der Economische Wetenschappen, Erasmus … - 2008
The Amazon rainforest is one of the world’s greatest natural wonders and holds great importance and significance for the world’s environmental balance. Around 60% of the Amazon rainforest is located in the Brazilian territory. The two biggest states of the Amazon region are Amazonas (the...
Persistent link: https://www.econbiz.de/10010732604
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The Reliability of Macroeconomic Forecasts based on Real Interest Rate Gap Estimates in Real Time: an Assessment for the Euro Area.
Mésonnier, J-S. - Banque de France - 2006
The real interest rate gap or IRG -the gap between the short term real interest rate and its "natural" level-, is a theoretical concept that has attracted much attention in central banks in recent years. This paper aims at clarifying its practical relevance for monetary policy in real time. For...
Persistent link: https://www.econbiz.de/10004998811
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DSGE Models in a Data-Rich Environment.
Boivin, J.; Giannoni, M. - Banque de France - 2007
Standard practice for the estimation of dynamic stochastic general equilibrium (DSGE) models maintains the assumption that economic variables are properly measured by a single indicator, and that all relevant information for the estimation is summarized by a small number of data series. However,...
Persistent link: https://www.econbiz.de/10004998848
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MASCOTTE: Model for AnalySing and foreCasting shOrT TErm developments
Baghli, M.; Brunhes-Lesage, V.; De bandt, O.; Fraisse, H.; … - Banque de France - 2004
MASCOTTE is the new version of the Banque de France's macro-econometric forecasting model. Following the last rebasing …
Persistent link: https://www.econbiz.de/10005056499
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Variable Selection in Predictive MIDAS Models
Marsilli, C. - Banque de France - 2014
In short-term forecasting, it is essential to take into account all available information on the current state of the … cross-validation procedure that allows automatic in-sample selection based on recent forecasting performances. Then the … developed techniques are assessed with regards to their forecasting power of US economic growth during the period 2000 …
Persistent link: https://www.econbiz.de/10010961062