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Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment

Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - Tinbergen Institute - 2006

This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

Persistent link: https://www.econbiz.de/10005137026

An Alternative Bayesian Approach to Structural Breaks in Time Series Models

Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Institute - 2011

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

Persistent link: https://www.econbiz.de/10008838634

Combining Predictive Densities using Bayesian Filtering with Applications to US Economics Data

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Institute - 2011

Using a Bayesian framework this paper provides a multivariate combination approach to prediction based on a distributional state space representation of predictive densities from alternative models. In the proposed approach the model set can be incomplete. Several multivariate time-varying...

Persistent link: https://www.econbiz.de/10008838629

Visualizing the Invisible: Estimating The New Keynesian Output Gap Via A Bayesian Approach

Willems, Tim - Tinbergen Institute - 2009

As both the natural level of output and the New Keynesian output gap cannot be observed in practice, there is quite some debate on the question how these variables look like in practice. Rather than taking the standard approach of using a time trend or the HP-filter to obtain estimates of these...

Persistent link: https://www.econbiz.de/10004987450

Combination Schemes for Turning Point Predictions

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - Tinbergen Institute - 2011

deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We …

Persistent link: https://www.econbiz.de/10009276031

Discrete versus Continuous State Switching Models for Portfolio Credit Risk

Lucas, André; Klaassen, Pieter - Tinbergen Institute - 2003

Dynamic models for credit rating transitions are important ingredients for dynamic credit risk analyses. We compare the properties of two such models that have recently been put forward. The models mainly differ in their treatment of systematic risk, which can be modeled either using discrete...

Persistent link: https://www.econbiz.de/10005504967

An Hourly Periodic State Space Model for Modelling French National Electricity Load

Dordonnat, V.; Koopman, S.J.; Ooms, M.; Dessertaine, A.; … - Tinbergen Institute - 2008

We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are … implementation of our forecasting procedure relies on the multivariate linear Gaussian state space framework and is applied to … national French hourly electricity load. The analysis focuses on two hours, 9 AM and 12 AM, but forecasting results are …

Persistent link: https://www.econbiz.de/10005144435

Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements

Koopman, Siem Jan; Jungbacker, Borus; Hol, Eugenie - Tinbergen Institute - 2004

volatility forecasting. In this paper we explore the forecasting value of historical volatility (extracted from daily return … explanatory variables for volatility. The main focus is on forecasting the daily variability of the Standard & Poor's 100 stock …

Persistent link: https://www.econbiz.de/10005450798

Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights

Hoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco - Tinbergen Institute - 2009

investment strategy including transaction costs. Another empirical example refers to forecasting US economic growth over the … business cycle. It suggests that time varying combination schemes may be very useful in business cycle analysis and forecasting …

Persistent link: https://www.econbiz.de/10004964452

Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility

Cakmakli, Cem; Dijk, Dick van - Tinbergen Institute - 2010

This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only...

Persistent link: https://www.econbiz.de/10008740266

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