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Forecasting Swiss exports using Bayesian forecast reconciliation

Eckert, Florian; Hyndman, Rob J.; Panagiotelis, Anastasios - 2019

This paper conducts an extensive forecasting study on 13,118 time series measuring Swiss goods exports, grouped …

Persistent link: https://www.econbiz.de/10012058388

Recessions as breadwinner for forecasters state-dependent evaluation of predictive ability : evidence from big macroeconomic US data

Siliverstovs, Boriss; Wochner, Daniel - 2019

forecasting experiment is based on a novel big macroeconomic dataset (FRED-QD) comprising over 200 quarterly indicators for almost …

Persistent link: https://www.econbiz.de/10012117679

Finance and income inequality : a review and new evidence

Haan, Jakob de; Sturm, Jan-Egbert - 2016

Using a panel fixed effects model for a sample of 121 countries covering 1975 -2005, we examine how financial development, financial liberalization and banking crises are related to income inequality. In contrast with most previous work, our results suggest that all finance variables increase...

Persistent link: https://www.econbiz.de/10011537295

The risk in capital controls

Gillas, Konstantinos Gkillas; Tsagkanos, Athanasios; … - In: Finance research letters 19 (2016), pp. 261-266

Persistent link: https://www.econbiz.de/10011657712

The impacts of rare disasters on asset returns and risk premiums in advanced economies (1870–2015)

Tam NguyenHuu - In: Finance research letters 45 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10014574913

Do sanctions trigger financial crises?

Shchepeleva, Maria; Stolbov, Michail I.; Weill, Laurent - In: Finance research letters 64 (2024), pp. 1-9

Persistent link: https://www.econbiz.de/10014531755

Social protection spending and financial crises

Thanh Cong Nguyen; Castro, Vítor; Wood, Justine - In: Finance research letters 59 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10014445267

Simulation-based valuation of project finance: does model complexity really matter?

Weber, Florian; Schmid, Thomas; Pietz, Matthäus; … - 2010

forecasting techniques, e.g. correlation forecasts based on historical values and on a dynamic conditional correlation (DCC) model … varied. We find that the applied volatility forecasting models have a strong influence on the expected net present value … distribution and on the probability of default. In contrast, correlation forecasting models play a minor role. Time resolution and …

Persistent link: https://www.econbiz.de/10010305715

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Corradi, Valentina; Swanson, Norman R. - 2003

forecasting model for another variable, and hence our use of terminology such as ?out-of-sample Granger causality? (see e …

Persistent link: https://www.econbiz.de/10010263216

Cointegrated VARMA models and forecasting US interest rates

Kascha, Christian; Trenkler, Carsten - 2011

We bring together some recent advances in the literature on vector autoregressive moving-average models creating a relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with fixed initial values there exists a so-called final...

Persistent link: https://www.econbiz.de/10010316827