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Dynamic relationship between stock and bond returns: a GAS MIDAS copula approach

Nguyen, Hoang; Javed, Farrukh - 2021

Stock and bond are the two most crucial assets for portfolio allocation and risk management. This study proposes generalized autoregressive score mixed frequency data sampling (GAS MIDAS) copula models to analyze the dynamic dependence between stock returns and bond returns. A GAS MIDAS copula...

Persistent link: https://www.econbiz.de/10012668024

Identifying useful indicators for nowcasting GDP in Sweden

Karlsson, Sune; Mazur, Stepan; Raftab, Mariya - 2025

This paper focuses on identifying useful indicators for nowcasting GDP in Sweden. We analyze 35 monthly indicators … nowcasting. While the primary focus is on nowcasting, we also assess the performance of the indicators for backcasting and … forecasting. For nowcasting, we identify 16 indicators in the individual setup and 23 indicators in the pooled setup that …

Persistent link: https://www.econbiz.de/10015207182

Modelling asymmetric dependence using copula functions : an application to value-at-risk in the energy sector

Bastianin, Andrea - 2009

In this paper I have used copula functions to forecast the Value-at-Risk (VaR) of an equally weighted portfolio comprising a small cap stock index and a large cap stock index for the oil and gas industry. The following empirical questions have been analyzed: (i) are there nonnormalities in the...

Persistent link: https://www.econbiz.de/10008810287

An empirical investigation of direct and iterated multistep conditional forecasts

McCracken, Michael W.; McGillicuddy, Joseph - 2017

When constructing unconditional point forecasts, both direct- and iterated-multistep (DMS and IMS) approaches are common. However, in the context of producing conditional forecasts, IMS approaches based on vector autoregressions (VAR) are far more common than simpler DMS models. This is despite...

Persistent link: https://www.econbiz.de/10011782870

Nowcasting the Maltese economy with a dynamic factor model

Ellul, Reuben; Ruisi, Germano - 2022

This paper describes a dynamic factor model for the Maltese economy. The model mainly serves as a tool to timely provide the Central Bank of Malta with nowcasts as well as short-term forecasts of the growth rate of the real gross domestic product, which in turn are used as an input in the...

Persistent link: https://www.econbiz.de/10012818645

Oil price forecast evaluation with flexible loss functions

Bastianin, Andrea; Manera, Matteo; Markandya, Anil; … - 2011

The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should be implemented. Relative to the previous literature, this paper is novel in several respects. First of all, we test and systematically evaluate the ability of several...

Persistent link: https://www.econbiz.de/10009382869

Tests of conditional predictive ability : some simulation evidence

McCracken, Michael W. - 2019

In this note we provide simulation evidence on the size and power of tests of predictive ability described in Giacomini and White (2006). Our goals are modest but non-trivial. First, we establish that there exist data generating processes that satisfy the null hypotheses of equal finite-sample...

Persistent link: https://www.econbiz.de/10011998061

Forecasting Macedonian inflation : evaluation of different models for short-term forecasting

Petrovska, Magdalena; Ramadani, Gani; Naumovski, Nikola; … - 2017

The primary goal of this paper is to describe several models that are currently used at the National Bank of the Republic of Macedonia (NBRM) for short-term forecasting of inflation - Autoregressive integrated moving average models (aggregated and disaggregated approach), three equation...

Persistent link: https://www.econbiz.de/10011717605

Tests of conditional predictive ability : a comment

McCracken, Michael W. - 2019

We investigate a test of equal predictive ability delineated in Giacomini and White (2006; Econometrica). In contrast to a claim made in the paper, we show that their test statistic need not be asymptotically Normal when a fixed window of observations is used to estimate model parameters. An example...

Persistent link: https://www.econbiz.de/10012064875

Binary conditional forecasts

McCracken, Michael W.; McGillicuddy, Joseph; Owyang, … - 2019

While conditional forecasting has become prevalent both in the academic literature and in practice (e.g., bank stress testing, scenario forecasting), its applications typically focus on continuous variables. In this paper, we merge elements from the literature on the construction and...

Persistent link: https://www.econbiz.de/10012137102