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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

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

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

Identifying macrofinancial risk regimes in Malta

Gatt, William; Vella, Sarah - 2025

The withdrawal of public sector intervention from Malta's housing market commenced in the early 1990s, while financial markets were liberalised in 1994. These developments were likely behind the significant expansion in credit and house price appreciation experienced over the past two decades,...

Persistent link: https://www.econbiz.de/10015450380

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

Global and regional long-term climate forecasts : a heterogeneous future

Gadea, María Dolores; Gonzalo, Jesús - 2025

Persistent link: https://www.econbiz.de/10015395839

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

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

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

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