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MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area
Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - C.E.P.R. Discussion Papers - 2009
in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on …This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model specification … curse of dimensionality. But if the restrictions imposed by MIDAS are too stringent, the MF-VAR can perform better. Hence …
Persistent link: https://www.econbiz.de/10008528546
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Pooling versus model selection for nowcasting with many predictors: An application to German GDP
Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - C.E.P.R. Discussion Papers - 2009
-data sampling (MIDAS) regressions with few predictors. The specification of these models requires several choices related to …
Persistent link: https://www.econbiz.de/10005123534
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Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP
Marcellino, Massimiliano; Schumacher, Christian - C.E.P.R. Discussion Papers - 2008
', using different versions of what we call factor-based mixed-data sampling (Factor-MIDAS) approaches. We compare all possible … combinations of factor estimation methods and Factor-MIDAS projections with respect to nowcast performance. Additionally, we …. Concerning the projections, the most parsimonious MIDAS projection performs best overall. Finally, quarterly models are in …
Persistent link: https://www.econbiz.de/10005124208
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Markov-Switching Mixed-Frequency VAR Models
Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2014
switching mixed data sampling (MIDAS) models. The results suggest that MSMF-VAR models are particularly useful to estimate the …
Persistent link: https://www.econbiz.de/10011083823
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Regime Switches in the Risk-Return Trade-off
Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2013
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance …
Persistent link: https://www.econbiz.de/10011083264
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Factor Based Index Tracking
Corielli, Francesco; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2002
Index tracking requires building a portfolio of stocks (a replica) whose behaviour is as close as possible to that of a given stock index. Typically, much fewer stocks should appear in the replica than in the index, and there should be no low frequency (persistent) components in the tracking...
Persistent link: https://www.econbiz.de/10005666958
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Can Oil Prices Forecast Exchange Rates?
Ferraro, Domenico; Rogoff, Kenneth; Rossi, Barbara - C.E.P.R. Discussion Papers - 2011
This paper investigates whether oil prices have a reliable and stable out-of-sample relationship with the Canadian/U.S dollar nominal exchange rate. Despite state-of-the-art methodologies, we find little systematic relation between oil prices and the exchange rate at the monthly and quarterly...
Persistent link: https://www.econbiz.de/10009359490
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Out-of-Sample Forecast Tests Robust to the Choice of Window Size
Inoue, Atsushi; Rossi, Barbara - C.E.P.R. Discussion Papers - 2011
This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over a wide range of window sizes. We show that the tests...
Persistent link: https://www.econbiz.de/10009275962
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Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?
Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010
Inflation is a far from homogeneous phenomenon, a fact often neglected in modelling consumer price inflation. This study, the first of its kind for an emerging market country, investigates gains to inflation forecast accuracy by aggregating weighted forecasts of the sub-component price indices,...
Persistent link: https://www.econbiz.de/10008553067
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Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns
Favero, Carlo A.; Gozluklu, Arie; Tamoni, Andrea - C.E.P.R. Discussion Papers - 2010
This paper documents the existence of a slowly evolving trend in the dividend-price ratio, dpt, determined by a demographic variable, MY: the middle-aged to young ratio. Deviations of dpt from this long-run component explain transitory but persistent fluctuations in stock market returns. The...
Persistent link: https://www.econbiz.de/10008468657