Showing 1 - 10 of 3,463
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
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
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
The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that … static forecasts, as well as different measures of forecast errors. Finally, we propose a new class of models which combine … producing accurate forecasts of the WTI spot price. -- Oil Price ; WTI Spot and Futures Prices ; Forecasting ; Econometric …
Persistent link: https://www.econbiz.de/10009382869
Forecasting the inflation path is an important task for central banks in an inflation targeting regime. Therefore, central banks must continuously evaluate the forecasting accuracy of the models used to generate inflation forecasts. This paper evaluates the performance of most of the models that...
Persistent link: https://www.econbiz.de/10011913044
ethanol and agricultural price returns, little is known about their whole distributions. We focus on predictability in … distribution by asking whether ethanol returns can be used to forecast different parts of field crops returns distribution, or vice … Squares. Forecast evaluation relies on quantile-weighed scoring rules, which identify regions of the distribution of interest …
Persistent link: https://www.econbiz.de/10009737363
The purpose of the paper is to introduce the framework for decomposing the forecast of headline inflation, obtained by … inflation forecast, with relatively good fit of equations for food and domestic oil prices. This model serves as satellite model …
Persistent link: https://www.econbiz.de/10011926820
This paper presents a forecasting exercise that assesses the predictive potential of a daily price index based on … with a finance research corporation, State Street Global Markets. This online price index is tested as a predictor of the …. Additionally, an analysis of intra-period forecasts, reveals a slight trend towards increased forecast accuracy as the daily …
Persistent link: https://www.econbiz.de/10011883796
Putting a price on carbon - with taxes or developing carbon markets - is a widely used policy measure to achieve the … forecasts for the monthly real price of carbon within the EU Emissions Trading Scheme (EU ETS). We aim to uncover supply- and … predictors affecting the price of carbon, provides substantial accuracy gains over a wide set of benchmark forecasts, including …
Persistent link: https://www.econbiz.de/10014470036
Persistent link: https://www.econbiz.de/10000417527