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Robust implementation of a parsimonious dynamic factor model to nowcast GDP
Duarte, Pablo; Süssmuth, Bernd - 2014
Quarterly GDP figures usually are published with a delay of some weeks. A common way to generate GDP series of higher frequency, i.e. to nowcast GDP, is to use available indicators to calculate a single index by means of a common factor derived from a dynamic factor model (DFM). This paper deals...
Persistent link: https://www.econbiz.de/10010229863
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A general approach to recovering market expectations from futures prices with an application to crude oil
Baumeister, Christiane; Kilian, Lutz - 2016
has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the … the futures price by the estimated risk premium, a common problem is that there are as many measures of the market … expectation as there are estimates of the risk premium. We propose a general solution to this problem that allows us to select the …
Persistent link: https://www.econbiz.de/10011434566
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Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2015
We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the variance of the average, but rather the average of the variances of the individual forecasts that incorporate idiosyncratic risks. With a slight reformulation of the loss function...
Persistent link: https://www.econbiz.de/10011305389
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Measuring uncertainty of a combined forecast and some tests for forecaster heterogeneity
Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2020
We have argued that from the standpoint of a policy maker who has access to a number of expert forecasts, the uncertainty of a combined forecast should be interpreted as that of a typical forecaster randomly drawn from the pool. With a standard factor decomposition of a panel of forecasts, we...
Persistent link: https://www.econbiz.de/10012405456
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Variable selection and inference for multi-period forecasting problems
Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009
direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …
Persistent link: https://www.econbiz.de/10003807908
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Forecasting random walks under drift instability
Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2008
Persistent link: https://www.econbiz.de/10003711763
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Cointegration analysis with mixed-frequency data
Seong, Byeongchan (contributor); Ahn, Sung K. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003496561
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Real-time forecasting using mixed-frequency VARs with time-varying parameters
Heinrich, Markus; Reif, Magnus - 2020
This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive models (VAR) that allow for both structural change and indicators sampled at different frequencies. We extend the literature by evaluating a mixed-frequency time-varying...
Persistent link: https://www.econbiz.de/10012154665
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Expectation dispersion, uncertainty, and the reaction to news
Born, Benjamin; Dovern, Jonas; Enders, Zeno - 2020
Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...
Persistent link: https://www.econbiz.de/10012404549
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Time-varying spot and futures oil price dynamics
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2010
We investigate the role of crude oil spot and futures prices in the process of price discovery by using a cost-of-carry model with an endogenous convenience yield and daily data over the period from January 1990 to December 2008. We provide evidence that futures markets play a more important...
Persistent link: https://www.econbiz.de/10003965099