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Point and Density Forecasts for the Euro Area Using Bayesian VARs

Berg, Tim Oliver; Henzel, Steffen - CESifo - 2014

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 … optimally does not improve forecast accuracy; (e) all variants except the large BVAR tend to be well calibrated for inflation …

Persistent link: https://www.econbiz.de/10010877728

Forecasting GDP at the Regional Level with Many Predictors

Lehmann, Robert; Wohlrabe, Klaus - CESifo - 2012

quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden …. Our results show that we can significantly increase forecast accuracy compared to an autoregressive benchmark model, both …

Persistent link: https://www.econbiz.de/10010877940

Nowcasting Regional GDP: The Case of the Free State of Saxony

Henzel, Steffen; Lehmann, Robert; Wohlrabe, Klaus - CESifo - 2015

We tackle the nowcasting problem at the regional level using a large set of indicators (regional, national and international) for the years 1998 to 2013. We explicitly use the ragged-edge data structure and consider the different information sets faced by a regional forecaster within each...

Persistent link: https://www.econbiz.de/10011273092

Optimal Asset Allocation with Factor Models for Large Portfolios

Pesaran, M. Hashem; Zaffaroni, Paolo - CESifo - 2008

This paper characterizes the asymptotic behaviour, as the number of assets gets arbitrarily large, of the portfolio weights for the class of tangency portfolios belonging to the Markowitz paradigm. It is assumed that the joint distribution of asset returns is characterized by a general factor...

Persistent link: https://www.econbiz.de/10005765686

Forecasting Exchange Rates: An Investor Perspective

Melvin, Michael; Prins, John; Shand, Duncan - CESifo - 2013

rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates …

Persistent link: https://www.econbiz.de/10010659187

Assessing the Macroeconomic Forecasting Performance of Boosting - Evidence for the United States, the Euro Area, and Germany

Buchen, Teresa; Wohlrabe, Klaus - CESifo - 2013

The use of large datasets for macroeconomic forecasting has received a great deal of interest recently. Boosting is one possible method of using high-dimensional data for this purpose. It is a stage-wise additive modelling procedure, which, in a linear specification, becomes a variable selection...

Persistent link: https://www.econbiz.de/10010627573

Ranking of VaR and ES Models: Performance in Developed and Emerging Markets

Zikovic, Sasa; Filer, Randall - CESifo - 2012

An inherent problem with comparing and ranking competing Value at Risk (VaR) and Expected shortfall (ES) models is that they measure only a single realization of the underlying data generation process. The question is whether there is any significant statistical difference in the performance of...

Persistent link: https://www.econbiz.de/10010586077

Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets

Zikovic, Sasa; Filer, Randall - CESifo - 2009

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

Persistent link: https://www.econbiz.de/10008572519

Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios

Pesaran, M. Hashem; Zaffaroni, Paolo - CESifo - 2009

This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity. It extends the results obtained in the literature for the exact pricing case to two other cases of...

Persistent link: https://www.econbiz.de/10008583641

Asymptotic Variance of Brier (Skill) Score in the Presence of Serial Correlation

Lahiri, Kajal; Yang, Liu - CESifo - 2015

We propose autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance of taking care of serial correlation. We find that...

Persistent link: https://www.econbiz.de/10011242158