Showing 1 - 10 of 18
Prediction markets - markets used to forecast future events - have been used to accurately forecast the outcome of political contests, sporting events, and, occasionally, economic outcomes. This chapter summarizes the latest research on prediction markets in order to further their utilization by...
Persistent link: https://www.econbiz.de/10010877703
Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast accuracy for euro area real GDP growth and HICP...
Persistent link: https://www.econbiz.de/10010877728
In the paper we analyze determinants of the capital market beta risk in Poland in the monthly period 1996-2002. The beta risk is measured as a time-varying parameter estimated in a regression of the Warsaw stock indexes (WIG and WIG20 separately) on major foreign stock market indexes (DJIA,...
Persistent link: https://www.econbiz.de/10005249463
This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …
Persistent link: https://www.econbiz.de/10005766178
to forecasting area-wide industrial production. To this end, we use various tests that are designed to compare competing …
Persistent link: https://www.econbiz.de/10008498989
aggregates are time-varying, much of the literature on forecasting aggregates considers the case of linear aggregates with fixed … theoretical setup and the forecasting results. …
Persistent link: https://www.econbiz.de/10008534048
This paper proposes a new method of forecasting euro area quarterly real GDP that uses area-wide indicators, which are … information approach outperforms alternative forecasting methods in terms of forecast accuracy. …
Persistent link: https://www.econbiz.de/10005181446
We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...
Persistent link: https://www.econbiz.de/10005405735
combining different forecasting procedures generally produces more accurate forecasts than can be attained from a single model. …
Persistent link: https://www.econbiz.de/10005405901
In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...
Persistent link: https://www.econbiz.de/10005406048