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Variable selection and forecasting in high dimensional linear regressions with structural breaks
Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020
This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability …. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …
Persistent link: https://www.econbiz.de/10012258549
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Asymptotic variance of Brier (skill) score in the presence of serial correlation
Lahiri, Kajal; Yang, Liu - 2015
We propose autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance of taking care of serial correlation. We find that...
Persistent link: https://www.econbiz.de/10010503468
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Electricity use as a real time indicator of the economic burden of the COVID-19-related lockdown : evidence from Switzerland
Janzen, Benedikt; Radulescu, Doina - 2020
We employ hourly electricity load data for Switzerland as a real time indicator of the economic effects of the lockdown … following the spread of SARS-CoV-2. Our findings reveal that following the drastic lockdown, overall electricity use decreased by … electricity consumption of 6.3 per cent. Assuming industry, services, transport and agriculture account for 67 per cent of …
Persistent link: https://www.econbiz.de/10012229313
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Hybrid historical simulation VaR and ES : performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall Keith - 2009
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...
Persistent link: https://www.econbiz.de/10003891679
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An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt; Nordman, Niklas - 2001
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...
Persistent link: https://www.econbiz.de/10011398115
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Nowcasting regional GDP : the case of the Free State of Saxony
Henzel, Steffen; Lehmann, Robert; Wohlrabe, Klaus - 2015
forecasting accuracy. Among the 10% best performing models for the short forecasting horizon, one fourth contain regional …
Persistent link: https://www.econbiz.de/10010515377
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Renewed momentum in the German housing market : boom or bubble?
Chen, Xi; Funke, Michael - 2013
The renewed momentum in the German housing market has led to concerns that Germany is vulnerable to asset price shocks. In this paper, we apply recently developed recursive unit root tests to detect the beginning and the end of potential speculative bubbles in Germany over the sample period...
Persistent link: https://www.econbiz.de/10009764458
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Ranking of VaR and ES Models : performance in developed and emerging markets
Zikovic, Sasa; Filer, Randall Keith - 2012
An inherent problem with comparing and ranking competing Value at Risk (VaR) and Expected shortfall (ES) models is that they measure only a single realization of the underlying data generation process. The question is whether there is any significant statistical difference in the performance of...
Persistent link: https://www.econbiz.de/10009665398
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Small sample properties of forecasts from autoregressive models under structural breaks
Timmermann, Allan; Pesaran, M. Hashem - 2003
Autoregressive models are used routinely in forecasting and often lead to better performance than more complicated …
Persistent link: https://www.econbiz.de/10011508088
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How informative are the subjective density forecasts of macroeconomists?
Kenny, Geoff; Kostka, Thomas; Masera, Federico - 2011
In this paper, we propose a framework to evaluate the information content of subjective expert density forecasts using micro data from the ECB's Survey of Professional Forecasters (SPF). A key aspect of our analysis is the use of scoring functions which evaluate the entire predictive densities,...
Persistent link: https://www.econbiz.de/10009387222