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Long-run forecasting in multicointegrated systems
Engsted, Tom; Siliverstovs, Boriss; Haldrup, Niels - 2003
We extend the analysis of Christoffersen and Diebold (1998) on long-run forecasting in cointegrated systems to …, this new loss function entails high and increasing forecasting gains compared to both the standard MSFE criterion and …
Persistent link: https://www.econbiz.de/10010260703
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Business confidence and forecasting of housing prices and rents in large German cities
Kholodilin, Konstantin A.; Siliverstovs, Boriss - 2014
In this paper, we evaluate the forecasting ability of 115 indicators to predict the housing prices and rents in 71 … tested in a framework of a quasi out-of-sample forecasting. Its results are quite heterogeneous. No single indicator appears …
Persistent link: https://www.econbiz.de/10010331958
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A Dynamic Panel Data Approach to the Forecasting of the GDP of German Länder
Kholodilin, Konstantin Arkadievich; Siliverstovs, Boriss; … - 2007
even more pronounced at longer forecasting horizons (the forecast accuracy gain as measured by the root mean squared … spatial dependence structure into regional forecasting models, especially, when long-term forecasts are made. …
Persistent link: https://www.econbiz.de/10012038663
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Forecasting the fragility of the banking and insurance sector
Bernoth, Kerstin; Pick, Andreas - 2009
This paper considers the issue of forecasting financial fragility of banks and insurances using a panel data set of …
Persistent link: https://www.econbiz.de/10010271107
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Does accounting for spatial effects help forecasting the growth of Chinese provinces?
Girardin, Eric; Kholodilin, Konstantin Arkadievich - 2009
shown that effect of accounting for spatial dependence is even more pronounced at longer forecasting horizons (the forecast …
Persistent link: https://www.econbiz.de/10010274376
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Google searches as a means of improving the nowcasts of key macroeconomic variables
Kholodilin, Konstantin Arkadievich; Podstawski, Maximilian - 2009
subject to revisions. This makes them an excellent source of information for the macroeconomic forecasting. …
Persistent link: https://www.econbiz.de/10010274377
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Assessing the real-time informational content of macroeconomic data releases for now-/forecasting GDP: Evidence for Switzerland
Siliverstovs, Boriss; Kholodilin, Konstantin Arkadievich - 2010
-on-quarter growth rates in Switzerland. It also assesses the informational content of macroeconomic data releases for forecasting of the … for GDP forecasting although their ranking depends on the underlying transformation of monthly indicators from which the …
Persistent link: https://www.econbiz.de/10010274409
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Forecasting the prices and rents for flats in large German cities
Kholodilin, Konstantin A.; Mense, Andreas - 2012
-of-sample forecasting exercise, we find that both pooling and accounting for spatial effects helps to substantially improve the forecast …-of-sample forecasting of the growth rates of flats' prices and rents for the next six months is done. It shows that in most cities both …
Persistent link: https://www.econbiz.de/10010287317
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Restrictions search for panel VARs
Schnücker, Annika - 2016
As panel vector autoregressive (PVAR) models can include several countries and variables in one system, they are well suited for global spillover analyses. However, PVARs require restrictions to ensure the feasibility of the estimation. The present paper uses a selection prior for a data-based...
Persistent link: https://www.econbiz.de/10011560378
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Forecasting the risk of speculative assets by means of copula distributions
Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013
means of conditional moments of simulated bivariate standardized copula distributions. We conduct in-sample forecasting … on the basis of their one-step ahead forecasting performance. With regard to forecast unbiasedness and precision …
Persistent link: https://www.econbiz.de/10010292668