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Forecasting GDP at the Regional Level with Many Predictors

Lehmann, Robert; Wohlrabe, Klaus - 2021

In this paper, we assess the accuracy of macroeconomic forecasts at the regional level using a unique data set at quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden-Württemberg) and Eastern Germany. We overcome the problem of a...

Persistent link: https://www.econbiz.de/10013315852

Predictive Ability of Business Cycle Indicators Under Test : A Case Study for the Euro Area Industrial Production

Carstensen, Kai; Wohlrabe, Klaus; Ziegler, Christina - 2021

In this paper we assess the information content of seven widely cited early indicators for the euro area with respect to forecasting area-wide industrial production. To this end, we use various tests that are designed to compare competing forecast models. In addition to the standard...

Persistent link: https://www.econbiz.de/10013316171

Model Averaging in Risk Management with an Application to Futures Markets

Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021

This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the use of model averaging techniques as a way of dealing with the risk of inadvertently using false models in portfolio management. Evaluation of volatility models is then considered...

Persistent link: https://www.econbiz.de/10013316571

Forecasting GDP at the Regional Level with Many Predictors

Lehmann, Robert; Wohlrabe, Klaus - CESifo - 2012

Persistent link: https://www.econbiz.de/10010877940

An Empirical Growth Model for Major Oil Exporters

Esfahani, Hadi Salehi; Mohaddes, Kamiar; Pesaran, M. Hashem - CESifo - 2012

-run output equation with a coefficient equal to the share of capital (á). The long-run theory is tested using quarterly data on … results support the long-run theory. The existence of long-run relations between real output, foreign output and real oil … steadily over the past three decades, the theory suggests that the effect of oil income on the economy’s steady state growth …

Persistent link: https://www.econbiz.de/10010540249

Joint Confidence Sets for Structural Impulse Responses

Inoue, Atsushi - 2016

Many questions of economic interest in structural VAR analysis involve estimates of multiple impulse response functions. Other questions relate to the shape of a given impulse response function. Answering these questions requires joint inference about sets of structural impulse responses,...

Persistent link: https://www.econbiz.de/10012997070

Optimal Asset Allocation with Factor Models for Large Portfolios

Pesaran, M. Hashem; Zaffaroni, Paolo - CESifo - 2008

This paper characterizes the asymptotic behaviour, as the number of assets gets arbitrarily large, of the portfolio weights for the class of tangency portfolios belonging to the Markowitz paradigm. It is assumed that the joint distribution of asset returns is characterized by a general factor...

Persistent link: https://www.econbiz.de/10005765686

Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production

Carstensen, Kai; Wohlrabe, Klaus; Ziegler, Christina - CESifo - 2010

Persistent link: https://www.econbiz.de/10008498989

A VECX Model of the Swiss Economy

Assenmacher-Wesche, Katrin; Pesaran, M. Hashem - CESifo - 2008

This paper applies the modelling strategy of Garratt, Lee, Pesaran and Shin (2003) to the estimation of a structural …

Persistent link: https://www.econbiz.de/10005181239

A High-Low Model of Daily Stock Price Ranges

Cheung, Yan-Leung; Cheung, Yin-Wong; Wan, Alan T.K. - CESifo - 2008

We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...

Persistent link: https://www.econbiz.de/10005196290