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Combining Bayesian VARs with survey density forecasts: Does it pay off?
Ba´nbura, Marta; Brenna, Federica; Paredes, Joan; … - 2021
-term forecast horizons using both univariate and multivariate forecasting metrics. Results show that the Survey of Professional … Forecasters (SPF) provides good point forecast performance, but also that SPF forecasts perform poorly in terms of densities for …
Persistent link: https://www.econbiz.de/10012515464
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Combining Bayesian VARs with survey density forecasts : does it pay off?
Bańbura, Marta; Brenna, Federica; Paredes, Joan; … - 2021
-term forecast horizons using both univariate and multivariate forecasting metrics. Results show that the Survey of Professional … Forecasters (SPF) provides good point forecast performance, but also that SPF forecasts perform poorly in terms of densities for …
Persistent link: https://www.econbiz.de/10012507233
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Combining Bayesian VARs with Survey Density Forecasts : Does it Pay Off?
Banbura, Marta; Brenna, Federica; Paredes, Joan; … - 2021
-term forecast horizons using both univariate and multivariate forecasting metrics. Results show that the Survey of Professional … Forecasters (SPF) provides good point forecast performance, but also that SPF forecasts perform poorly in terms of densities for …
Persistent link: https://www.econbiz.de/10013229967
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The power of weather : some empirical evidence on predicting day-ahead power prices through day-ahead weather forecasts
Huurman, Christian; Ravazzolo, Francesco; Chen Zhou - 2007
forecasts improves the forecast accuracy, and in particular new models with power transformations of weather forecast variables …
Persistent link: https://www.econbiz.de/10011372511
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Forecasting the intraday market price of money
Monticini, Andrea; Ravazzolo, Francesco - In: Journal of empirical finance 29 (2014), pp. 304-315
Persistent link: https://www.econbiz.de/10011300463
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Forecast densities for economic aggregates from disaggregate ensembles
Ravazzolo, Francesco; Vahey, Shaun P. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 4, pp. 367-381
Persistent link: https://www.econbiz.de/10010461273
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Backtesting Value-at-Risk Using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann
Hoogerheide, Lennart F. - 2011
Patton and Timmermann (2011, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', Journal of Business & Economic … Statistics, forthcoming) propose a set of useful tests for forecast rationality or optimality under squared error loss, including …
Persistent link: https://www.econbiz.de/10013120348
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Forecasting Energy Commodity Prices : A Large Global Dataset Sparse Approach
Ferrari, Davide - 2020
This paper focuses on forecasting quarterly energy prices of commodities, such as oil, gas and coal, using the Global VAR dataset proposed by Mohaddes and Raissi (2018). This dataset includes a number of potentially informative quarterly macroeconomic variables for the 33 largest economies,...
Persistent link: https://www.econbiz.de/10012844415
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Forecasting energy commodity prices : a large global dataset sparse approach
Ferrario, Davide L.; Ravazzolo, Francesco; Vespingnani, … - In: Energy economics 98 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012872633
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Forecasting Energy Commodity Prices : A Large Global Dataset Sparse Approach
Ferrari, Davide - 2019
This paper focuses on forecasting quarterly energy prices of commodities, such as oil, gas and coal, using the Global VAR dataset proposed by Mohaddes and Raissi (2018). This dataset includes a number of potentially informative quarterly macroeconomic variables for the 33 largest economies,...
Persistent link: https://www.econbiz.de/10012857769