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Measuring uncertainty about long-run prediction
Müller, Ulrich K.; Watson, Mark W. - 2013
Persistent link: https://www.econbiz.de/10009730746
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Understanding uncertainty shocks and the role of black swans
Orlik, Anna; Veldkamp, Laura - 2014
Persistent link: https://www.econbiz.de/10010414287
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Monetary policy with model uncertainty : distribution forecast targeting
Svensson, Lars E. O.; Williams, Noah - 2005
Persistent link: https://www.econbiz.de/10003204015
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Quantifying time-varying forecast uncertainty and risk for the real price of oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach … analysis of profit-loss and hedging against price risk. …
Persistent link: https://www.econbiz.de/10012545165
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Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach … analysis of profit-loss and hedging against price risk. …
Persistent link: https://www.econbiz.de/10012795319
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Hybrid tail risk and expected stock returns : when does the tail wag the dog?
Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - 2013
Persistent link: https://www.econbiz.de/10010191590
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Bayesian risk forecasting for long horizons
Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019
We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run … risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …
Persistent link: https://www.econbiz.de/10011979983
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Does economic uncertainty predict real activity in real-time?
Keijsers, Bart; Dijk, Dick van - 2022
We assess the predictive ability of 15 economic uncertainty measures in a real-time out-of-sample forecasting exercise for the quantiles of The Conference Board's coincident economic index and its components (industrial production, employment, personal income, and manufacturing and trade sales)....
Persistent link: https://www.econbiz.de/10013375365
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Bayesian analysis of boundary and near-boundary evidence in econometric models with reduced rank
Basturk, Nalan; Hoogerheide, Lennart; Dijk, Herman K. van - 2017
Weak empirical evidence near and at the boundary of the parameter region is a predominant feature in econometric models. Examples are macroeconometric models with weak information on the number of stable relations, microeconometric models measuring connectivity between variables with weak...
Persistent link: https://www.econbiz.de/10011688509
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Thin-slice forecasts of gubernatorial elections
Benjamin, Daniel J.; Shapiro, Jesse M. - 2006
Persistent link: https://www.econbiz.de/10003389740