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On the Economic Evaluation of Volatility Forecasts

Voev, Valeri - School of Economics and Management, University of Aarhus - 2009

evaluation. An important implication is that forecasting superiority of models using high frequency data is likely to be …

Persistent link: https://www.econbiz.de/10008491711

The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts

Varneskov, Rasmus Tangsgaard; Voev, Valeri - School of Economics and Management, University of Aarhus - 2010

been proposed. A related strand of literature focuses on dynamic models and covariance forecasting for high-frequency data … address, is the relative importance of the quality of the realized measure as an input in a given forecasting model vs. the …

Persistent link: https://www.econbiz.de/10008462028

Estimating High-Dimensional Time Series Models

Medeiros, Marcelo C.; Mendes, Eduardo F. - School of Economics and Management, University of Aarhus - 2012

We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. We assume both the number of covariates in the model and candidate variables can increase with the number of observations and the number of candidate variables is,...

Persistent link: https://www.econbiz.de/10010851219

Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models

Hillebrand, Eric; Medeiros, Marcelo C. - School of Economics and Management, University of Aarhus - 2012

We study the simultaneous occurrence of long memory and nonlinear effects, such as parameter changes and threshold effects, in ARMA time series models and apply our modeling framework to daily realized volatility. Asymptotic theory for parameter estimation is developed and two model building...

Persistent link: https://www.econbiz.de/10010851244

Should quarterly government finance statistics be used for fiscal surveillane in Europe?

Pedregal, Diego J.; Pérez, Javier J. - European Central Bank - 2008

content and its potential use for fiscal forecasting and monitoring purposes. The models are estimated with annual and …

Persistent link: https://www.econbiz.de/10005344878

Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data

Diron, Marie - European Central Bank - 2006

Economic policy makers, international organisations and private-sector forecasters commonly use short-term forecasts of real GDP growth based on monthly indicators, such as industrial production, retail sales and confidence surveys. An assessment of the reliability of such tools and of the...

Persistent link: https://www.econbiz.de/10005344945

Measuring monetary policy expectations from financial market instruments

Joyce, Michael; Relleen, Jonathan; Sorensen, Steffen - European Central Bank - 2008

This paper reviews the main instruments and associated yield curves that can be used to measure financial market participants’ expectations of future UK monetary policy rates. We attempt to evaluate these instruments and curves in terms of their ability to forecast policy rates over the period...

Persistent link: https://www.econbiz.de/10005344961

Short-term forecasting of the Japanese economy using factor models

Godbout, Claudia; Lombardi, Marco J. - European Central Bank - 2012

forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor …. For most of the components, we report that factor models yield lower forecasting errors than a simple AR process or an … improvements in terms of forecasting accuracy are found for more volatile periods, such as the recent financial crisis. However …

Persistent link: https://www.econbiz.de/10010538810

Understanding and forecasting aggregate and disaggregate price dynamics

Bermingham, Colin; D’Agostino, Antonello - European Central Bank - 2011

The issue of forecast aggregation is to determine whether it is better to forecast a series directly or instead construct forecasts of its components and then sum these component forecasts. Notwithstanding some underlying theoretical results, it is generally accepted that forecast aggregation is...

Persistent link: https://www.econbiz.de/10009228752

Forecasting economic growth in the euro area during the Great Moderation and the Great Recession

Lombardi, Marco J.; Maier, Philipp - European Central Bank - 2011

We evaluate forecasts for the euro area in data-rich and ‘data-lean’ environments by comparing three different approaches: a simple PMI model based on Purchasing Managers’ Indices (PMIs), a dynamic factor model with euro area data, and a dynamic factor model with data from the euro plus...

Persistent link: https://www.econbiz.de/10009293720