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Forecasting the Risk of Speculative Assets by Means of Copula Distributions
Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … means of conditional moments of simulated bivariate standardized copula distributions. We conduct in-sample forecasting …
Persistent link: https://www.econbiz.de/10010632797
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A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation
Lanne, Markku; Luoto, Jani - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The model .fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence has declined in the early 1980.s and slightly...
Persistent link: https://www.econbiz.de/10010632795
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Google Searches as a Means of Improving the Nowcasts of Key Macroeconomic Variables
Kholodilin, Konstantin A.; Podstawski, Maximilian; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
subject to revisions. This makes them an excellent source of information for the macroeconomic forecasting. …
Persistent link: https://www.econbiz.de/10008549317
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Multicointegration in US Consumption Data
Siliverstovs, Boriss - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2003
The present paper tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, we exploit the fact that the flows of disposable income and consumption expenditure on the one hand, and...
Persistent link: https://www.econbiz.de/10005018683
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Noncausality and Inflation Persistence
Lanne, Markku - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
We use noncausal autoregressions to examine the persistence properties of quarterly U.S. consumer price inflation from 1970:1.2012:2. These nonlinear models capture the autocorrelation structure of the inflation series as accurately as their conventional causal counterparts, but they allow for...
Persistent link: https://www.econbiz.de/10010632800
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Do Google Searches Help in Nowcasting Private Consumption?: A Real-Time Evidence for the US
Kholodilin, Konstantin A.; Podstawski, Maximilian; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
) procedure (Hansen et al., 2005) suggest that the autoregressive benchmark is not selected into a set of the best forecasting …
Persistent link: https://www.econbiz.de/10008565836
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Volatility Patterns of CDS, Bond and Stock Markets before and during the Financial Crisis: Evidence from Major Financial Institutions
Belke, Ansgar; Gokus, Christian - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
. A generalized autoregressive conditional heteroscedasticity (GARCH) model is applied to the data of four large US banks … over the period ranging from January 01, 2006, to December 31, 2009. More specifically, a multivariate GARCH approach fits …
Persistent link: https://www.econbiz.de/10008855329
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Forecasting the Fragility of the Banking and Insurance Sector
Bernoth, Kerstin; Pick, Andreas - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
This paper considers the issue of forecasting financial fragility of banks and insurances using a panel data set of …
Persistent link: https://www.econbiz.de/10004963890
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A Dynamic Panel Data Approach to the Forecasting of the GDP of German Länder
Kholodilin, Konstantin A.; Siliverstovs, Boriss; … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2007
even more pronounced at longer forecasting horizons (the forecast accuracy gain as measured by the root mean squared … spatial dependence structure into regional forecasting models, especially, when long-term forecasts are made. …
Persistent link: https://www.econbiz.de/10004963925
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Does Accounting for Spatial Effects Help Forecasting the Growth of Chinese Provinces?
Girardin, Eric; Kholodilin, Konstantin A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
shown that effect of accounting for spatial dependence is even more pronounced at longer forecasting horizons (the forecast …
Persistent link: https://www.econbiz.de/10008527283