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Bayesian predictive distributions of oil returns using mixed data sampling volatility models

Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023

such as Generalized Autoregressive Conditional Heteroskedastic (GARCH), Generalized Autoregressive Score (GAS), and … relevant financial/macroeconomic news into asset price movements. For inference and prediction, we employ an innovative … inclusion of exogenous variables is beneficial for GARCH-type models while offering only a marginal improvement for GAS and SV …

Persistent link: https://www.econbiz.de/10014252427

Forecasting with dynamics models using shrinkage-based estimation

Carriero, Andrea (contributor); … - 2008

The paper provides a proof of consistency of the ridge estimator for regressions where the number of regressors tends to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests that shrinkage autoregressive models can lead to very substantial...

Persistent link: https://www.econbiz.de/10003785003

"Google it!" : forecasting the US unemployment rate with a Google job search index

D'Amuri, Francesco; Marcucci, Juri - 2010

We suggest the use of an Internet job-search indicator (the Google Index, GI) as the best leading indicator to predict the US unemployment rate. We perform a deep out-of-sample forecasting comparison analyzing many models that adopt both our preferred leading indicator (GI), the more standard...

Persistent link: https://www.econbiz.de/10008702857

Adaptive models and heavy tails

Delle Monache, Davide; Petrella, Ivan - 2014

This paper proposes a novel and flexible framework to estimate autoregressive models with time-varying parameters. Our setup nests various adaptive algorithms that are commonly used in the macroeconometric literature, such as learning-expectations and forgetting-factor algorithms. These are...

Persistent link: https://www.econbiz.de/10010382183

Forecasting the oil-gasoline price relationship : should we care about the rockets and the feathers?

Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - 2014

According to the Rockets and Feathers hypothesis (RFH), the transmission mechanism of positive and negative changes in the price of crude oil to the price of gasoline is asymmetric. Although there have been many contributions documenting that downstream prices are more reactive to increases than...

Persistent link: https://www.econbiz.de/10010251557

Food versus fuel : causality and predictability in distribution

Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - 2013 - This draft: March 14th 2013

This paper examines the relationship between biofuels and commodity food prices in the U.S. from a new perspective. While a large body of literature has tried to explain the linkages between sample means and volatilities associated with ethanol and agricultural price returns, little is known...

Persistent link: https://www.econbiz.de/10009737363

Biofuels and food prices : searching for the causal link

Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - 2013

We analyze the relationship between the prices of ethanol, agricultural commodities and livestock in Nebraska, the U.S. second largest ethanol producer. The paper focuses on long-run relations and Granger causality linkages between ethanol and the other commodities. The analysis takes possible...

Persistent link: https://www.econbiz.de/10009737408

Statistical and economic evaluation of time series models for forecasting arrivals at call centers

Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - 2017

Call centers' managers are interested in obtaining accurate forecasts of call arrivals because these are a key input in staffing and scheduling decisions. Therefore their ability to achieve an optimal balance between service quality and operating costs ultimately hinges on forecast accuracy. We...

Persistent link: https://www.econbiz.de/10011599302

MIDAS modeling for core inflation forecasting

Libonatti, Luis - 2018

This paper presents a forecasting exercise that assesses the predictive potential of a daily price index based on online prices. Prices are compiled using web scrapping services provided by the private company PriceStats in cooperation with a finance research corporation, State Street Global...

Persistent link: https://www.econbiz.de/10011883796

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

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