Showing 1 - 10 of 118
This paper merges two specifications recently developed in the forecasting literature: the MS-MIDAS model (Guérin and Marcellino, 2013) and the factor-MIDAS model (Marcellino and Schumacher, 2010). The MS-factor MIDAS model that we introduce incorporates the information provided by a large data...
Persistent link: https://www.econbiz.de/10011273978
In recent years, factor models have received increasing attention from both econometricians and practitioners in the forecasting of macroeconomic variables. In this context, Bai and Ng (2008) find an improvement in selecting indicators according to the forecast variable prior to factor...
Persistent link: https://www.econbiz.de/10010706538
This paper develops new bridge models to forecast the quarterly GDP growth in France in the short run. We only use data from business survey in the French industry, services and construction. Two alternative methods are considered. The first one relies on the GETS algorithm applied to blocks of...
Persistent link: https://www.econbiz.de/10011072436
In recent years, factor models have received increasing interest from central banks and international organizations to forecast macroeconomic variables. We examine the performance of these models in forecasting the French GDP growth rate over short horizons. The factors are extracted from a...
Persistent link: https://www.econbiz.de/10011074400
In recent years, central banks and international organisations have been making ever greater use of factor models to forecast macroeconomic variables. We examine the performance of these models in forecasting French GDP growth over short horizons. The factors are extracted from a large data set...
Persistent link: https://www.econbiz.de/10011099442
The recent observed decline of business cycle variability suggests that broad macroeconomic risk may have fallen as well. This may in turn have some impact on equity risk premia. We investigate the latent structures in the volatilities of the business cycle and stock market valuations by...
Persistent link: https://www.econbiz.de/10011072864
The recent period has highlighted a well-known phenomenon, namely the existence of a positive bias in experts’ anticipations. Literature on this subject underlines optimism in the financial analyst community. In this work, our significant contributions are twofold: we provide explanatory bias...
Persistent link: https://www.econbiz.de/10010905325
The evaluation of the reliability of analysts' earnings forecasts is an important aspect of research for different reasons: Many empirical studies employ analysts' consensus forecasts as a proxy for the market's expectations of future earnings in order to identify the unanticipated component of...
Persistent link: https://www.econbiz.de/10010905358
This Bayesian modeling book is intended for practitioners and applied statisticians looking for a self-contained entry to computational Bayesian statistics. Focusing on standard statistical models and backed up by discussed real datasets available from the book website, it provides an...
Persistent link: https://www.econbiz.de/10010861445
In this paper we derive adaptive non-parametric rates of concentration of the posterior distributions for the density model on the class of Sobolev and Besov spaces. For this purpose, we build prior models based on wavelet or Fourier expansions of the logarithm of the density. The prior models...
Persistent link: https://www.econbiz.de/10010861471