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An evaluation of business survey indices for short-term forecasting : balance method versus Carlson-Parkin method
Vermeulen, Philip - In: International journal of forecasting 30 (2014) 4, pp. 882-897
Persistent link: https://www.econbiz.de/10010517780
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Do we need a global VAR model to forecast inflation and output in South Africa?
Waal, Annari de; Van Eyden, Reneé; Gupta, Rangan - In: Applied economics 47 (2015) 25/27, pp. 2649-2670
Persistent link: https://www.econbiz.de/10010519635
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Was the recent downturn in US real GDP predictable?
Balcilar, Mehmet; Gupta, Rangan; Majumdar, Anandamayee; … - In: Applied economics 47 (2015) 28/30, pp. 2985-3007
Persistent link: https://www.econbiz.de/10011289393
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Examining the Nelson-Siegel class of term structure models
Pooter, Michiel de - 2007
forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …
Persistent link: https://www.econbiz.de/10011372504
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The power of weather : some empirical evidence on predicting day-ahead power prices through day-ahead weather forecasts
Huurman, Christian; Ravazzolo, Francesco; Chen Zhou - 2007
wholesale power markets have only recently been deregulated. We introduce the weather factor into well-known forecasting models …
Persistent link: https://www.econbiz.de/10011372511
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Likelihood-based analysis for dynamic factor models
Jungbacker, Borus; Koopman, Siem Jan - 2008
We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...
Persistent link: https://www.econbiz.de/10011373811
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Forecasting aggregate productivity using information from firm-level data
Bartelsman, Eric J.; Wolf, Zoltán - 2009
explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …
Persistent link: https://www.econbiz.de/10011378362
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Directional accuracy, forecasting error and the profitability of currency trading : model-based evidence
Moosa, Imad A.; Vaz, John - In: Applied economics 47 (2015) 55/57, pp. 6191-6199
Persistent link: https://www.econbiz.de/10011381278
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Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH
Brännäs, Kurt; Gooijer, Jan G. de - 2000
variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …
Persistent link: https://www.econbiz.de/10011303289
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The stochastic volatility in mean model
Koopman, Siem Jan; Hol Uspensky, Eugenie - 2000
In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...
Persistent link: https://www.econbiz.de/10011303314