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Exploiting spillovers to forecast crashes

Gresnigt, Francine; Kole, Erik; Franses, Philip Hans - 2015

We develop Hawkes models in which events are triggered through self as well as cross-excitation. We examine whether incorporating cross-excitation improves the forecasts of extremes in asset returns compared to only self-excitation. The models are applied to US stocks, bonds and dollar exchange...

Persistent link: https://www.econbiz.de/10011376256

Forecasting using DSGE models with financial frictions

Kolasa, Marcin; Rubaszek, Michał - In: International journal of forecasting 31 (2015) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011327140

Approximating the DGP of China's quarterly GDP

Franses, Philip Hans; Mees, Heleen - In: Applied economics 45 (2013) 22/24, pp. 3469-3472

Persistent link: https://www.econbiz.de/10010345350

Do commercial real estate prices have predictive content for GDP?

Franses, Philip Hans; Groot, Bert de - In: Applied economics 45 (2013) 31/33, pp. 4379-4384

Persistent link: https://www.econbiz.de/10011510560

Forecasting crude oil prices with DSGE models

Rubaszek, Michał - In: International journal of forecasting 37 (2021) 2, pp. 531-546

Persistent link: https://www.econbiz.de/10012792850

Machine learning with parallel neural networks for analyzing and forecasting electricity demand

Chen, Yi-Ting; Sun, Edward W.; Lin, Yi-Bing - In: Computational economics 56 (2020) 2, pp. 569-597

Persistent link: https://www.econbiz.de/10012272048

Does the foreign sector help forecast domestic variables in DSGE models?

Kolasa, Marcin; Rubaszek, Michał - In: International journal of forecasting 34 (2018) 4, pp. 809-821

Persistent link: https://www.econbiz.de/10012031114

Jump detection and noise separation by a singular wavelet method for predictive analytics of high-frequency data

Chen, Yi-Ting; Lai, Wan-Ni; Sun, Edward W. - In: Computational economics 54 (2019) 2, pp. 809-844

Persistent link: https://www.econbiz.de/10012134380