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Prediction and Simulation Using Simple Models Characterized by Nonstationarity and Seasonality

Swanson, Norman; Urbach, Richard - Department of Economics, Rutgers University-New Brunswick - 2013

importance of both choice of forecast or simulation horizon and choice between minimizing point or distribution based loss … measures. Our empirical analysis centers around the implementation of a series of simulation and prediction experiments, as … in setting U.S. monetary policy, and our simulation experiments are based on a comparison of simulated and historical …

Persistent link: https://www.econbiz.de/10010797428

Modeling and forecasting realized range volatility

Caporin, Massimiliano; Velo, Gabriel G. - Dipartimento di Scienze Economiche "Marco Fanno", … - 2011

In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the quadratic variation of financial prices. This estimator was early introduced in the literature and it is based on the high-low range observed at high frequency during the day. We...

Persistent link: https://www.econbiz.de/10009021695

Constructing a new leading indicator for unemployment from a survey among German employment agencies

Hutter, Christian; Weber, Enzo - Institut für Arbeitsmarkt- und Berufsforschung (IAB) - 2013

"The paper investigates the predictive power of a new survey implemented by the Federal Employment Agency (FEA) for forecasting German unemployment in the short run. Every month, the CEOs of the FEA's regional agencies are asked about their expectations of future labor market developments. We...

Persistent link: https://www.econbiz.de/10010720410

Forecasting with a mismatch-enhanced labor market matching function

Hutter, Christian; Weber, Enzo - Institut für Arbeitsmarkt- und Berufsforschung (IAB) - 2014

"This paper investigates the role of mismatch between job seekers and job openings for the forecasting performance of a labor market matching function. In theory, higher mismatch lowers matching efficiency which increases the risk that the vacancies cannot be filled within the usual period of...

Persistent link: https://www.econbiz.de/10011207081

Is More Data Better?.

Mitra, K. - Politiikan ja Talouden Tutkimuksen Laitos, … - 1999

Convention wisdom usually suggests that agents should use all the data they have to make the best possible prediction. In this paper it is shown that agents may sometimes be able to make better predictions by throwing away data. The optimality criterion agents adopt is the mean squared criterion.

Persistent link: https://www.econbiz.de/10005660921

Forecasting economic crisis using gradient measurement of development and log-logistic function

Siedlecki, Rafal; Papla, Daniel - In: Business and Economic Horizons (BEH) 9 (2013) 3, pp. 28-40

This paper shows that regardless of how good the economic situation is, sooner or later certain difficulties will appear. Hence, the idea has emerged to give the analytical form to the logistic law based gradient measurement (synthetic measure) of selected financial data, which enables...

Persistent link: https://www.econbiz.de/10010781937

Measuring and Modeling Risk Using High-Frequency Data

Härdle, Wolfgang K. - 2008

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, more precise measures for the daily or lower frequency volatility can be...

Persistent link: https://www.econbiz.de/10012723549

A Forecast Comparison of Volatility Models : Does Anything Beat a Garch(1,1)?

Hansen, Peter Reinhard - 2004

We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM-$ exchange rate data and IBM return data, where the latter is based on a new data set of realized variance. We find no evidence that a GARCH(1,1) is...

Persistent link: https://www.econbiz.de/10012739179

Variance, Return, and High-Low Price Spreads

Lin, Ji-Chai - 2007

We report three new findings that rely upon the high-low price range as an estimate of stock return variance. The predictability of variance is associated with persistence in high prices and with correlated shocks to high and low prices. Excess stock returns are positively related to anticipated...

Persistent link: https://www.econbiz.de/10012778479

¿Akaike o Schwarz? ¿Cuál elegir para predecir el PIB chileno?

Medel, Carlos A. - Volkswirtschaftliche Fakultät, … - 2012

Schwarz. In this paper I evaluate the predictive ability of the Akaike and Schwarz information criteria using autoregressive integrated moving average models, with sectoral data of Chilean GDP. In terms of root mean square error, and after the estimation of more than a million models, the...

Persistent link: https://www.econbiz.de/10009418476

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