Showing 1 - 10 of 68
forecasts improves the forecast accuracy, and in particular new models with power transformations of weather forecast variables …
Persistent link: https://www.econbiz.de/10005504905
that next-day weather forecasts improve the forecast accuracy of day-ahead electricity prices substantially, suggesting …
Persistent link: https://www.econbiz.de/10005481438
We argue that the next generation of macro modellers at Inflation Targeting central banks should adapt a methodology from the weather forecasting literature known as `ensemble modelling'. In this approach, uncertainty about model specifications (e.g., initial conditions, parameters, and boundary...
Persistent link: https://www.econbiz.de/10004976646
Interactions between eurozone and United States booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model. The model is well suitable for a multi-country cyclical analysis and accommodates changes in low and high data frequencies and...
Persistent link: https://www.econbiz.de/10011096286
Central banks' operations and eciency arguments would suggest that the intraday interest rate should be set to zero. However, a liquidity crisis introduces frictions related to news, which can cause an upward jump of the intraday rate. This paper documents that these dynamics can be partially...
Persistent link: https://www.econbiz.de/10011099568
Central banks' operations and eciency arguments would suggest that the intraday interest rate should be set to zero. However, a liquidity crisis introduces frictions related to news, which can cause an upward jump of the intraday rate. This paper documents that these dynamics can be partially...
Persistent link: https://www.econbiz.de/10011157199
Patton and Timmermann (2012, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', <I>Journal of Business … & Economic Statistics</I>, 30(1) 1-17) propose a set of useful tests for forecast rationality or optimality under squared error …
Persistent link: https://www.econbiz.de/10011256590
We propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes … business cycle analysis. In order to account for parameter uncertainty we consider a Bayesian approach to both estimation and …
Persistent link: https://www.econbiz.de/10011256621
Using a Bayesian framework this paper provides a multivariate combination approach to prediction based on a distributional state space representation of predictive densities from alternative models. In the proposed approach the model set can be incomplete. Several multivariate time-varying...
Persistent link: https://www.econbiz.de/10011256724
uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic …
Persistent link: https://www.econbiz.de/10011256933