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A forecasting framework for core domestic banks in Malta
Andreani, Michele - 2024
accuracy is assessed through in-sample forecast evaluation across various data sub-samples. This paper also discusses how these …
Persistent link: https://www.econbiz.de/10015053640
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A fear index to predict oil futures returns
Chevallier, Julien; Sévi, Benoît - 2013
This paper evaluates the predictability of WTI light sweet crude oil futures by using the variance risk premium, i.e. the difference between model-free measures of implied and realized volatilities. Additional regressors known for their ability to explain crude oil futures prices are also...
Persistent link: https://www.econbiz.de/10010189497
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Forecasting Macedonian inflation : evaluation of different models for short-term forecasting
Petrovska, Magdalena; Ramadani, Gani; Naumovski, Nikola; … - 2017
models' out-of-sample forecasting performance for the period 2012 q3 to 2016 q2 by using a number of forecast evaluation … Statistics. Additionally, we constructed several composite forecasts in order to test whether a combination forecast is superior … increases. Second, the disaggregated ARIMA model has the smallest forecasting errors. Third, majority of the forecast evaluation …
Persistent link: https://www.econbiz.de/10011717605
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Forecasting the volatility of energy transition metals
Bastianin, Andrea; Li, Xiao; Shamsudin, Luqman - 2025
The transition to a cleaner energy mix, essential for achieving net-zero greenhouse gas emissions by 2050, will significantly increase demand for metals critical to renewable energy technologies. Energy Transition Metals (ETMs), including copper, lithium, nickel, cobalt, and rare earth elements,...
Persistent link: https://www.econbiz.de/10015190309
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Modeling time-varying uncertainty of multiple-horizon forecast errors
Clark, Todd E.; McCracken, Michael W.; Mertens, Elmar - 2017 - This draft: August 31, 2017
forecast errors, we derive a multiple-horizon specification of stochastic volatility. Compared to constant-variance approaches …
Persistent link: https://www.econbiz.de/10011780949
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An empirical investigation of direct and iterated multistep conditional forecasts
McCracken, Michael W.; McGillicuddy, Joseph - 2017
find a marked improvement in the DMS approach relative to IMS. The distinction is particularly clear when we forecast …
Persistent link: https://www.econbiz.de/10011782870
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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 spanning the period from 1993 to 2023. Additionally, we evaluate the group-wise performance of these indicators. The analysis is conducted using mixed-data sampling (MIDAS) and...
Persistent link: https://www.econbiz.de/10015207182
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Forecasting the oil-gasoline price relationship : should we care about the rockets and the feathers?
Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - 2014
, while the ECM implies symmetric price transmission from crude oil to gasoline. We quantify the forecast accuracy gains due …
Persistent link: https://www.econbiz.de/10010251557
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Real-time consideration of systematic patterns in Maltese GDP data and revisions
Debono, Nathaniel - 2024
Economic policies are generally formulated on the basis of data available in real time, which might subsequently be revised. Implicitly, the possibility of data revisions creates an element of uncertainty around the very same data driving policy decisions. Given that such uncertainty could be...
Persistent link: https://www.econbiz.de/10014461449
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What drives the European carbon market? : macroeconomic factors and forecasts
Bastianin, Andrea; Mirto, Elisabetta; Qin, Yan; … - 2024
Putting a price on carbon - with taxes or developing carbon markets - is a widely used policy measure to achieve the target of net-zero emissions by 2050. This paper tackles the issue of producing point, direction-of-change, and density forecasts for the monthly real price of carbon within the...
Persistent link: https://www.econbiz.de/10014470036