Showing 1 - 10 of 154
In this paper we investigate crude oil and products price dynamics. We present a comparison among ten price series of crude oils and fourteen price series of petroleum products, considering four distinct market areas (Mediterranean, North Western Europe, Latin America and North America) over the...
Persistent link: https://www.econbiz.de/10011592760
their forecasting performance. Our findings reveal significant heterogeneity in ETM volatility patterns, which challenge …
Persistent link: https://www.econbiz.de/10015190309
This paper presents a forecasting exercise that assesses the predictive potential of a daily price index based on …
Persistent link: https://www.econbiz.de/10011883796
forecasting with the real exchange rate, we find that using a version of real exchange rates based on approximated monthly price … level data instead of actual price level data hardly changes the conclusions on unit roots and forecasting. By combining …
Persistent link: https://www.econbiz.de/10013184685
This paper presents unprecedented exchange rate forecasting results, based upon a new model that approximates the gap …. The theoretical derivation of our forecasting equation is consistent with the monetary model of exchange rates. Our model … outperforms the random walk in out-of-sample forecasting of twelve major currency pairs over the short and long horizon forecasts …
Persistent link: https://www.econbiz.de/10012302033
product, which in turn are used as an input in the forecasting process. Such forecasts reflect and incorporate the flow of … in a synchronous way. The forecasting power of the dynamic factor model is compared with those of several other models …
Persistent link: https://www.econbiz.de/10012818645
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/10011389735
This paper provides a comprehensive early warning system (EWS) that balances the classical signaling approach with the best-realized machine learning (ML) model for predicting fiscal stress episodes. Using accumulated local effects (ALE), we compute a set of thresholds for the most informative...
Persistent link: https://www.econbiz.de/10014494272
that, in this case, adding stochastic volatility can further improve the forecasting performance of a single-factor BVAR …
Persistent link: https://www.econbiz.de/10014470036
Republic of Macedonia (NBRM) for short-term forecasting of inflation - Autoregressive integrated moving average models … models' out-of-sample forecasting performance for the period 2012 q3 to 2016 q2 by using a number of forecast evaluation … to individual models' forecasts. Our results point to three important conclusions. First, the forecasting accuracy of the …
Persistent link: https://www.econbiz.de/10011717605