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Exchange Rates and Fundamentals: Is there a Role for Nonlinearities in Real Time?

Aksoy, Yunus; Akdogan, Kurmas - Society for Computational Economics - SCE - 2006

We examine out of sample predictive power of real time monetary models with nonlinear adjustment in forecast errors for the Pound Sterling/US Dollar exchange rates. Real time revisions of U.K. and U.S. monetary aggregates and output are significant. By studying recursive out of sample forecast...

Persistent link: https://www.econbiz.de/10005537456

Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Models: An international Comparison

Petitjean, Mikael; Giot, Pierre - Society for Computational Economics - SCE - 2004

-term relationship. We finally conclude by comparing the forecasting ability of these two approaches with classical models such as Random …

Persistent link: https://www.econbiz.de/10005537606

Forecasting with a Real-Time Data Set for Macroeconomists

Stark, Tom; Croushore, Dean - Society for Computational Economics - SCE - 2001

key issue is this: In the literature on developing forecasting models, new models are put together based on the results … variety of exercises designed to answer this question. In particular, we find that real-time data matters for some forecasting …

Persistent link: https://www.econbiz.de/10005537777

Asymptotic Principal Components Estimation of Large Factor Models

Solo, Victor; Heaton, Chris - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005537788

Forecasting VARMA processes: VAR models vs. subspace-based state space models

Izquierdo, Segismundo; Hernandez, Cesareo; Hoyo, Juan del - Society for Computational Economics - SCE - 2006

state space models obtained by the CCA subspace algorithm, including a density forecasting analysis …

Persistent link: https://www.econbiz.de/10005706234

Data Uncertainty in General Equilibrium

Aruoba, S. Boragan - Society for Computational Economics - SCE - 2004

In this paper, using recent empirical results regarding the statistical properties of macroeconomic data revisions, we study the effects of data revisions in a general equilibrium framework. We find that the presence of data revisions, or data uncertainty, creates a precautionary motive and...

Persistent link: https://www.econbiz.de/10005706560

Comparing the Accuracy of Density Forecasts from Competing Models

Sarno, Lucio; Valente, Giorgio - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005706641

The Multi-Fractal Model of Asset Returns:Its Estimation via GMM and Its Use for Volatility Forecasting

Lux, Thomas - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005706788

Calculating and Using Second Order Accurate Solution of Discrete Time Dynamic Equilibrium Models

Sims, Christopher A.; Kim, Jinill; Kim, Sunghyun - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005706819

Forecasting stock prices using Genetic Programming and Chance Discovery

Garcia-Almanza, Alma Lilia; Tsang, Edward P.K. - Society for Computational Economics - SCE - 2006

In recent years the computers have shown to be a powerful tool in financial forecasting. Many machine learning …

Persistent link: https://www.econbiz.de/10005342917