Narrow search
Showing 1 - 10 of 2,516
Cover Image
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
Cover Image
Bayesian forecasting of US growth using basic time varying parameter models and expectations data
Basturk, Nalan; Ceyhan, Pinar; Dijk, Herman K. van - 2014
Time varying patterns in US growth are analyzed using various univariate model structures, starting from a naive model structure where all features change every period to a model where the slow variation in the conditional mean and changes in the conditional variance are specified together with...
Persistent link: https://www.econbiz.de/10010399680
Cover Image
Can Google search data help predict macroeconomic series?
Niesert, Robin; Oorschot, Jochem; Veldhuisen, Chris; … - 2019
We use Google search data with the aim of predicting unemployment, CPI and consumer confidence for the US, UK, Canada, Germany and Japan. Google search queries have previously proven valuable in predicting macroeconomic variables in an in-sample context. To our knowledge, the more challenging...
Persistent link: https://www.econbiz.de/10011987495
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Analyzing fixed-event forecast revisions
Chang, Chia-Lin; Bruijn, Bert de; Franses, Philip Hans; … - 2013
Persistent link: https://www.econbiz.de/10009765842
Cover Image
Nowcasting and forecasting economic growth in the Euro area using principal components
Hindrayanto, Irma; Koopman, Siem Jan; Winter, Jasper de - 2014
Many empirical studies have shown that factor models produce relatively accurate forecasts compared to alternative short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and different forecast horizons. However, various specifications...
Persistent link: https://www.econbiz.de/10010395082
Cover Image
Analyzing and forecasting economic crises with an agent-based model of the euro area
Hommes, Cars H.; Poledna, Sebastian - 2023
We develop an agent-based model for the euro area that fulfils widely recommended requirements for nextgeneration macroeconomic models by i) incorporating financial frictions, ii) relaxing the requirement of rational expectations, and iii) including heterogeneous agents. Using macroeconomic and...
Persistent link: https://www.econbiz.de/10014233385
Cover Image
The information in systemic risk rankings
Nucera, Federico; Schwaab, Bernd; Koopman, Siem Jan; … - 2015
We propose to pool alternative systemic risk rankings for financial institutions using the method of principal … components. The resulting overall ranking is less affected by estimation uncertainty and model risk. We apply our methodology to … disentangle the common signal and the idiosyncratic components from a selection of key systemic risk rankings that are recently …
Persistent link: https://www.econbiz.de/10010532581