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Optimal Forecasts in the Presence of Structural Breaks
Pesaran, M Hashem; Pick, Andreas; Pranovich, Mikhail - de Nederlandsche Bank - 2011
This paper considers the problem of forecasting under continuous and discrete structural breaks and proposes weighting observations to obtain optimal forecasts in the MSFE sense. We derive optimal weights for continuous and discrete break processes. Under continuous breaks, our approach recovers...
Persistent link: https://www.econbiz.de/10009395175
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Variable Selection, Estimation and Inference for Multi-period Forecasting Problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - de Nederlandsche Bank - 2010
correlation in the residuals of the multi-period direct forecasting models we propose a new SUREbased estimation method and …
Persistent link: https://www.econbiz.de/10008494420
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On the predictability of GDP data revisions in the Netherlands
Roodenburg, Olivier - de Nederlandsche Bank - 2004
predictable to some extent. These results are strengthened when applying the more general state-space estimation procedure. The …
Persistent link: https://www.econbiz.de/10005101787
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Forecasting Random Walks under Drift Instability
Pesaran, M. Hashem; Pick, Andreas - de Nederlandsche Bank - 2009
estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …This paper considers forecast averaging when the same model is used but estimation is carried out over different … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …
Persistent link: https://www.econbiz.de/10005106659
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Cheap versus Expensive Trades: Assessing the Determinants of Market Impact Costs
Bikker, Jacob A.; Spierdijk, Laura; Sluis, Pieter Jelle … - de Nederlandsche Bank - 2005
This paper assesses the determinants of market impact costs of institutional equity trades, using unique data from the world's second largest pension fund. We allow the impact of trade characteristics and market conditions on trading costs to depend on the level of trading costs itself and...
Persistent link: https://www.econbiz.de/10005021833
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Forecasting Market Impact Costs and Identifying Expensive Trades
Bikker, Jacob; Spierdijk, Laura; Hoevenaars, Roy; … - de Nederlandsche Bank - 2006
Often, a relatively small group of trades causes the major part of the trading costs on an investment portfolio. For the equity trades studied in this paper, executed by the world's second largest pension fund, we find that only 10% of the trades determines 75% of total market impact costs....
Persistent link: https://www.econbiz.de/10005021846
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The pungent smell of Red Herrings; Subsoil assets, rents, volatility and the resource curse
Ploeg, Frederick van der; Poelhekke, Steven - de Nederlandsche Bank - 2009
evidence that resource dependence leads to more volatility and thus indirectly to worse growth prospects. …
Persistent link: https://www.econbiz.de/10008475761
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Market Thinness, List Price Revisions and Time to Sell: Evidence from a large-scale housing dataset
Hoeberichts, Marco; Rooij, Maarten van; Siegmann, Arjen - de Nederlandsche Bank - 2008
This paper uses a large dataset, covering more than 70% of the Dutch housing market, to analyze the relationship between market thinness, price setting behavior and time to sell. Our findings confirm the typical result that overpricing increases the time on market. In addition, we find evidence...
Persistent link: https://www.econbiz.de/10005021841
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An Emprical Analysis of Price Setting Behaviour in the Netherlands in the Period 1998-2003 Using Micro Data
Jonker, Nicole; Folkertsma, Carsten; Blijenberg, Harry - de Nederlandsche Bank - 2004
In this paper we examine pricing behaviour of retail firms in the Netherlands during 1998-2003 using alarge database with monthly price quotes of 49 articles, representing different product types. We have conducted this study in order to gain in sight in the degree of nominal rigidity of...
Persistent link: https://www.econbiz.de/10005106661
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Credit Ratings of the Banking Sector
Jonker, N. - de Nederlandsche Bank - 2002
show much more volatility in both upgrading and downgrading intensities than banks with an investment rating. …
Persistent link: https://www.econbiz.de/10005106690