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Adaptive Dynamic Nelson-Siegel Term Structure Model with Applications

Chen, Ying; Niu, Linlin - 2013

We propose an Adaptive Dynamic Nelson-Siegel (ADNS) model to adaptively forecast the yield curve. The model has a simple yet flexible structure and can be safely applied to both stationary and nonstationary situations with different sources of change. For the 3- to 12-months ahead out-of-sample...

Persistent link: https://www.econbiz.de/10010892113

Term Structure Forecasting: No-arbitrage Restrictions Versus Large Information set

Favero, Carlo A.; Niu, Linlin; Sala, Luca - 2013

This paper addresses the issue of forecasting the term structure. We provide a unified state-space modelling framework … factors, on the forecasting performance. Using US yield curve data, we find that both no-arbitrage and large info help in … forecasting but no model uniformly dominates the other. No-arbitrage models are more useful at shorter horizon for shorter …

Persistent link: https://www.econbiz.de/10010892123

Analysing and forecasting price dynamics across euro area countries and sectors: A panel VAR approach

Dées, Stéphane; Güntner, Jochen - 2014

This paper uses a panel VAR (PVAR) approach to estimating, analysing and forecasting price dynamics in four different …

Persistent link: https://www.econbiz.de/10011310799

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

Predictive inference under model misspecification with an application to assessing the marginal predictive content of money for output

Armah, Nii Ayi; Swanson, Norman R. - 2006

In this chapter we discuss model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with particular emphasis on the construction of valid bootstrap...

Persistent link: https://www.econbiz.de/10010266356

Inflation as a global phenomenon: Some implications for policy analysis and forecasting

Kabukçuoğlu, Ayşe; Martínez-García, Enrique - 2015

slack or oil price fluctuations, motivated by a novel interpretation of the forecasting implications of the workhorse open …

Persistent link: https://www.econbiz.de/10011440123

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011460766

The Chicago Fed DSGE Model

Brave, Scott A.; Campbell, Jeffrey R.; Fisher, Jonas D. M. - 2012

The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the …

Persistent link: https://www.econbiz.de/10010292149

Bayesian semiparametric multivariate GARCH modeling

Jensen, Mark J.; Maheu, John M. - 2012

This paper proposes a Bayesian nonparametric modeling approach for the return distribution in multivariate GARCH models. In contrast to the parametric literature, the return distribution can display general forms of asymmetry and thick tails. An infinite mixture of multivariate normals is given...

Persistent link: https://www.econbiz.de/10010292242

Decomposing changes in the aggregate labor force participation rate

Hotchkiss, Julie L. - 2009

This paper presents a simple methodology for decomposing changes in the aggregate labor force participation rate (LFPR) over time into demographic group changes in labor force participation behavior and in population share. The purpose is to identify the relative importance of behavioral changes...

Persistent link: https://www.econbiz.de/10010292316