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The VIX, the variance premium and stock market volatility : N°1675, May 2014
Bekaert, Geert (contributor); Hoerova, Marie (contributor) - European Central Bank - 2014
returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …
Persistent link: https://www.econbiz.de/10015301930
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Forecasting inflation with thick models and neural networks
McNelis, Paul; McAdam, Peter - European Central Bank - 2004
This paper applies linear and neural network-based “thick” models for forecasting inflation based on Phillips …
Persistent link: https://www.econbiz.de/10005227535
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Predicting recession probabilities with financial variables over multiple horizons
Fornari, Fabio; Lemke, Wolfgang - European Central Bank - 2010
-used probit approach, but the dynamics of regressors are endogenized using a VAR. The combined model is called a ‘ProbVAR’. At any … short-term interest rate, stock returns or corporate bond spreads. The forecasting performance is very good for the United …
Persistent link: https://www.econbiz.de/10008682901
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The informational content of over-the-counter currency options
Christoffersen, Peter; Mazzotta, Stefano - European Central Bank - 2004
future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval … option prices. We find that the OTC implied volatilities explain a much larger share of the variation in realized volatility …
Persistent link: https://www.econbiz.de/10005227533
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A guide to the Eurosystem/ECB staff macroeconomic projection exercises
European Central Bank - 2016
Over the past 15 years, the forecasting procedures and techniques used for the Eurosystem/ECB staff macroeconomic …
Persistent link: https://www.econbiz.de/10015293527
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Nowcasting made easier : a toolbox for economists
Linzenich, Jan (contributor); Meunier, Baptiste (contributor) - European Central Bank - 2024
We provide a versatile nowcasting toolbox that supports three model classes (dynamic factor models, large Bayesian VAR …
Persistent link: https://www.econbiz.de/10015322225
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The ECB Survey of Professional Forecasters : Second quarter of 2023, May 2023
European Central Bank - 2023
In the ECB Survey of Professional Forecasters (SPF) for the second quarter of 2023, expectations for headline HICP inflation in 2023 were revised down compared with the previous survey (conducted in the first quarter), while expectations for HICP inflation excluding food and energy (HICPX) in...
Persistent link: https://www.econbiz.de/10015322503
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The ECB survey of professional forecasters : forecast processes and methodologies : results of the 2023 special survey : survey conducted on the occasion of the 25th anniversary of the ECB SPF
European Central Bank - 2024
To mark the 25th anniversary of the ECB Survey of Professional Forecasters (SPF), a special survey was conducted in 2023 to explore the processes and methodologies underlying participants' forecasts. Participants were sent this fourth special survey on SPF forecast processes and methodologies in...
Persistent link: https://www.econbiz.de/10015277055
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The ECB survey of professional forecasters : forecast processes and methodologies : results of the 2023 special survey : survey conducted on the occasion of the 25th anniversary of the ECB SPF
European Central Bank - 2024
To mark the 25th anniversary of the ECB Survey of Professional Forecasters (SPF), a special survey was conducted in 2023 to explore the processes and methodologies underlying participants' forecasts. Participants were sent this fourth special survey on SPF forecast processes and methodologies in...
Persistent link: https://www.econbiz.de/10015277066
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Density characteristics and density forecast performance : a panel analysis; N°1679, May 2014
Kenny, Geoff (contributor); Kostka, Thomas (contributor);  … - European Central Bank - 2014
In this paper, we exploit micro data from the ECB Survey of Professional Forecasters (SPF) to examine the link between the characteristics of macroeconomic density forecasts (such as their location, spread, skewness and tail risk) and density forecast performance. Controlling for the effects of...
Persistent link: https://www.econbiz.de/10015301871