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Improved Construction of diffusion indexes for macroeconomic forecasting

van Dijk, Dick; Groenen, Patrick; Heij, Heij, C. - Faculteit der Economische Wetenschappen, Erasmus … - 2006

This article proposes a modified method for the construction of diffusion indexes in macroeconomic forecasting using …

Persistent link: https://www.econbiz.de/10010731613

On the optimality of expert-adjusted forecasts

Franses, Philip Hans; Kranendonk, Kranendonk, H.C.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2007

Official forecasts of international institutions are never purely model-based. The preliminary results of models are adjusted with expert opinions. What is the impact of these adjustments for the forecasts? Are they necessary to get ‘optimal’ forecasts? When model-based forecasts are...

Persistent link: https://www.econbiz.de/10010837998

Improved forecasting with leading indicators: the principal covariate index

Heij, Heij, C. - Faculteit der Economische Wetenschappen, Erasmus … - 2007

forecasting. This so-called principal covariate index is constructed to forecast growth rates of the Composite Coincident Index …

Persistent link: https://www.econbiz.de/10010731870

A Capital Adequacy Buffer Model

Allen, Allen, D.E.; Powell, Powell, R.J.; Singh, Singh, A.K. - Faculteit der Economische Wetenschappen, Erasmus … - 2013

__Abstract__ In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model...

Persistent link: https://www.econbiz.de/10011149240

The Impact of Jumps and Leverage in Forecasting Co-Volatility

Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2015

__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects … for forecasting weekly and monthly horizons. …

Persistent link: https://www.econbiz.de/10011274348

On the use of installed base information for spare parts logistics: a revieuw of ideas and industry practice

Dekker, Rommert; Pinçe, Pinçe, C.; Zuidwijk, … - Faculteit der Economische Wetenschappen, Erasmus … - 2010

installed based information and provide several ways in which installed base forecasting can be used. We discuss cases of … installed based forecasting at four companies and list the issues involved. Moreover, we provide some models to assess the value …

Persistent link: https://www.econbiz.de/10010837719

Modeling the impact of forecast-based regime switches on macroeconomic time series

Paap, Richard; Bel, Bel, K. - Faculteit der Economische Wetenschappen, Erasmus … - 2013

Forecasts of key macroeconomic variables may lead to policy changes of governments, central banks and other economic agents. Policy changes in turn lead to structural changes in macroeconomic time series models. To describe this phenomenon we introduce a logistic smooth transition autoregressive...

Persistent link: https://www.econbiz.de/10010837733

Experts' adjustment to model-based forecasts: Does the forecast horizon matter?

Franses, Philip Hans; Legerstee, Legerstee, R. - Faculteit der Economische Wetenschappen, Erasmus … - 2007

Experts may have domain-specific knowledge that is not included in a statistical model and that can improve forecasts. While one-step-ahead forecasts address the conditional mean of the variable, model-based forecasts for longer horizons have a tendency to convert to the unconditional mean of a...

Persistent link: https://www.econbiz.de/10010837737

A multivariate STAR analysis of the relationship between money and output

van Dijk, Dick; Franses, Philip Hans; Rothman, P. - Faculteit der Economische Wetenschappen, Erasmus … - 1999

-of-sample forecasting exercise to study money-income Granger causality, both linear and nonlinear, we believe is new to the literature. The … forecasting results do not suggest that money is nonlinearly Granger causal for output. In fact, they show that by allowing money … to nonlinearly Granger cause output, the forecasting performance of the STVECM is significantly worsened. …

Persistent link: https://www.econbiz.de/10010837854

Forecasting 1 to h steps ahead using partial least squares.

Franses, Philip Hans - Faculteit der Economische Wetenschappen, Erasmus … - 2006

(p) model for all forecast horizons and different AR models for different horizons. Representation, estimation and forecasting …

Persistent link: https://www.econbiz.de/10010837899