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State-Uncertainty preferences and the Risk Premium in the Exchange rate market

Jimenez-Martin, Juan-Angel; Cinca, Alfonso Novales - Facultad de Ciencias Económicas y Empresariales, … - 2009

This paper introduces state-uncertainty preferences into the Lucas (1982) economy, showing that this type of preferences helps to explain the exchange rate risk premium. Under these preferences we can distinguish between two factors driving the exchange rate risk premium: “macroeconomic...

Persistent link: https://www.econbiz.de/10005057524

Forecasting linear dynamical systems using subspace methods

García-Hiernaux, Alfredo - Facultad de Ciencias Económicas y Empresariales, … - 2009

procedure is illustrated by forecasting the German gross domestic product. …

Persistent link: https://www.econbiz.de/10005115648

Are Forecast Updates Progressive?

Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2011

Many macro-economic forecasts and forecast updates, such as those from the IMF and OECD, typically involve both a model component, which is replicable, as well as intuition (namely, expert knowledge possessed by a forecaster), which is non-replicable. . Learning from previous mistakes can affect...

Persistent link: https://www.econbiz.de/10008864018

Evaluating Macroeconomic Forecasts: A Review of Some Recent Developments

Franses, Philip Hans; McAleer, Michael; Rianne Legerstee: - Facultad de Ciencias Económicas y Empresariales, … - 2011

better than the Staff, and that the intuition of the FOMC does not add significantly in forecasting the actual values of the …

Persistent link: https://www.econbiz.de/10009002164

Evaluating Individual and Mean Non-Replicable Forecasts

Chang, Chia-Lin; Franses, Philip Hans; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2011

Macroeconomic forecasts are often based on the interaction between econometric models and experts. A forecast that is based only on an econometric model is replicable and may be unbiased, whereas a forecast that is not based only on an econometric model, but also incorporates expert intuition,...

Persistent link: https://www.econbiz.de/10009141352

Analyzing Fixed-event Forecast Revisions

Franses, Philip Hans; Chang, Chia-Lin; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2011

It is common practice to evaluate fixed-event forecast revisions in macroeconomics by regressing current revisions on one-period lagged revisions. Under weak-form efficiency, the correlation between the current and one-period lagged revisions should be zero. The empirical findings in the...

Persistent link: https://www.econbiz.de/10009141354

Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range

McAleer, Michael; Chen, Cathy W. S.; Gerlach, Richard; … - Facultad de Ciencias Económicas y Empresariales, … - 2011

-09 financial crisis, and evaluate how the crisis aects the performance of risk models via forecasting VaR. Empirical analysis is …Value-at-Risk (VaR) is commonly used for financial risk measurement. It has recently become even more important …, especially during the 2008-09 global financial crisis. We pro- pose some novel nonlinear threshold conditional autoregressive VaR …

Persistent link: https://www.econbiz.de/10009141357

Analyzing Fixed-event Forecast Revisions

Chang, Chia-Lin; McAleer, Michael; Bruijn, Bert de; … - Facultad de Ciencias Económicas y Empresariales, … - 2013

It is common practice to evaluate fixed-event forecast revisions in macroeconomics by regressing current forecast revisions on one-period lagged forecast revisions. Under weak-form (forecast) efficiency, the correlation between the current and one-period lagged revisions should be zero. The...

Persistent link: https://www.econbiz.de/10011162542

Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments

McAleer, Michael; Franses, Philip Hans; Legerstee, Rianne - Facultad de Ciencias Económicas y Empresariales, … - 2012

better than the Staff, and that the intuition of the FOMC does not add significantly in forecasting the actual values of the …

Persistent link: https://www.econbiz.de/10010778705

Modelling and Simulation: An Overview

McAleer, Michael; Oxley, Les; Chan, Felix - Facultad de Ciencias Económicas y Empresariales, … - 2013

underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …

Persistent link: https://www.econbiz.de/10011162548