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environment, leading to real-time forecast improvements relative to other methods of density forecast combination, such as …
Persistent link: https://www.econbiz.de/10012458090
The substantial fluctuations in oil prices in the wake of the COVID-19 pandemic and the Russian invasion of Ukraine have highlighted the importance of tail events in the global market for crude oil which call for careful risk assessment. In this paper we focus on forecasting tail risks in the...
Persistent link: https://www.econbiz.de/10014544801
Using historical data on post-war financial crises around the world, we show that crises are substantially predictable …
Persistent link: https://www.econbiz.de/10012481591
Persistent link: https://www.econbiz.de/10013456813
profitability of the IT sector. As a result, an econometrician trying to forecast economic activity with aggregate stock market …
Persistent link: https://www.econbiz.de/10013334522
consistent with a model of strategic diversification incentives in forecast reporting. Our results caution against the use of …
Persistent link: https://www.econbiz.de/10014337840
inserted into these images where the recent data are most similar to the historical data. This amounts to a forecast. The … traditional probit model used to forecast recessions inappropriately treats every observation as a separate experiment. This new …
Persistent link: https://www.econbiz.de/10013334464
common factors estimated from a large panel of data to help forecast the series of interest. This paper assesses the extent … method stands out to have smaller forecast errors. This method forecasts the series of interest directly, rather than the …
Persistent link: https://www.econbiz.de/10012467399
models when measured by root mean square errors, especially over long-run forecast horizons. The model is shown to be capable …
Persistent link: https://www.econbiz.de/10012456277
produce more radical forecasts. Since these more radical forecasts are in general less accurate, ex post forecast accuracy …
Persistent link: https://www.econbiz.de/10012473586