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Forecasting Government Bond Yields with Large Bayesian VARs

Carriero, Andrea; Kapetanios, George; Marcellino, … - C.E.P.R. Discussion Papers - 2010

We propose a new approach to forecasting the term structure of interest rates, which allows to efficiently extract the … forecasting performance of our proposed model relative to most of the existing alternative specifications. While most of the … and useful for forecasting. …

Persistent link: https://www.econbiz.de/10008468530

Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility

Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - C.E.P.R. Discussion Papers - 2013

for forecasting GDP growth at short-term horizons in the euro area. We discuss three sets of empirical results. First we … forecast revisions. Third we design a pseudo out of sample forecasting exercise and examine point and density forecast accuracy …

Persistent link: https://www.econbiz.de/10011083444

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2013

This paper develops a method for producing current-quarter forecasts of GDP growth with a (possibly large) range of available within-the-quarter monthly observations of economic indicators, such as employment and industrial production, and financial indicators, such as stock prices and interest...

Persistent link: https://www.econbiz.de/10011084707