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Improving GDP Measurement : A Forecast Combination Perspective

Aruoba, S. Boragan - 2011

Two often-divergent U.S. GDP estimates are available, a widely-used expenditure side version, GDPE, and a much less widely-used income-side version GDPI . We propose and explore a "forecast combination" approach to combining them. We then put the theory to work, producing a superior combined...

Persistent link: https://www.econbiz.de/10012461237

On the Aggregation of Probability Assessments : Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates

Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - National Bureau of Economic Research - 2022

regularization penalties, and we use them in a substantive exploration of Eurozone inflation and real interest rate density forecasts …. All individual inflation forecasters (even the ex post best forecaster) are outperformed by our regularized mixtures. From …

Persistent link: https://www.econbiz.de/10012814410

Evaluating Density Forecasts of Inflation : The Survey of Professional Forecasters

Diebold, Francis X. - 1997

distribution of expected future inflation. We evaluate the adequacy of" those density forecasts using the framework of Diebold … inflation including several deficiencies of the forecasts. The probability of a large negative inflation" shock is generally … overestimated, and in more recent years the probability of a large shock of" either sign is overestimated. Inflation surprises are …

Persistent link: https://www.econbiz.de/10012472583

Modeling and Forecasting Realized Volatility

Andersen, Torben G. - 2001

This paper provides a general framework for integration of high-frequency intraday data into the measurement forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting financial asset return volatilities, correlations, and...

Persistent link: https://www.econbiz.de/10012470566

Real-Time Multivariate Density Forecast Evaluation and Calibration : Monitoring the Risk of High-Frequency Returns on Foreign Exchange

Diebold, Francis X. - 1998

We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions...

Persistent link: https://www.econbiz.de/10012471967

Comparing Predictive Accuracy

Diebold, Francis X. - 1994

Using research designs patterned after randomized experiments, many recent economic studies examine outcome measures for treatment groups and comparison groups that are not randomly assigned. By using variation in explanatory variables generated by changes in state laws, government draft...

Persistent link: https://www.econbiz.de/10012473994

Annals of econometrics: forecasting and empirical methods in finance and macroeconomics

Diebold, Francis X. (contributor); … - 2001

Persistent link: https://www.econbiz.de/10001617180

Machine Learning for Regularized Survey Forecast Combination : Partially-Egalitarian Lasso and its Derivatives

Diebold, Francis X. - 2018

Despite the clear success of forecast combination in many economic environments, several important issues remain incompletely resolved. The issues relate to selection of the set of forecasts to combine, and whether some form of additional regularization (e.g., shrinkage) is desirable. Against...

Persistent link: https://www.econbiz.de/10012480620

Real-Time Measurement of Business Conditions

Aruoba, S. Boragan - 2008

We construct a framework for measuring economic activity at high frequency, potentially in real time. We use a variety of stock and flow data observed at mixed frequencies (including very high frequencies), and we use a dynamic factor model that permits exact filtering. We illustrate the...

Persistent link: https://www.econbiz.de/10012464298

Roughing it Up : Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility

Andersen, Torben G. - 2005

A rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high-frequency returns coupled with simple modeling procedures. Building on recent theoretical results in...

Persistent link: https://www.econbiz.de/10012466896