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Forecasting Recessions in Real Time
Aastveit, Knut Are - 2014
provides the most reasonable definition of business cycles. The forecasting exercise, where the models are augmented with …
Persistent link: https://www.econbiz.de/10013052944
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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.; Ravazzolo, Francesco; van … - 2011
Patton and Timmermann (2012, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', Journal of Business & Economic Statistics, 30(1) 1-17) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...
Persistent link: https://www.econbiz.de/10010326495
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Assessing the predictive ability of sovereign default risk on exchange rate returns
Foroni, Claudia; Ravazzolo, Francesco; Sadaba, Barbara - 2017
structure at different maturities of sovereign credit default swaps and conduct an out-of-sample forecasting exercise to test … improves the forecasting accuracy upon the random walk model at short forecasting horizons. …
Persistent link: https://www.econbiz.de/10012014546
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Forecasting Recessions in Real Time
Aastveit, Knut Are; Jore, Anne Sofie; Ravazzolo, Francesco - 2014
provides the most reasonable definition of business cycles. The forecasting exercise, where the models are augmented with …
Persistent link: https://www.econbiz.de/10012143840
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Identification and Real-Time Forecasting of Norwegian Business Cycles
Aastveit, Knut Are; Jore, Anne Sofie; Ravazzolo, Francesco - 2015
-of-sample forecasting exercise, focusing on the last recession, we show that univariate Markov-switching models applied to surveys and a …
Persistent link: https://www.econbiz.de/10012143865
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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.; Ravazzolo, Francesco; Dijk, … - Tinbergen Instituut - 2011
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 loss, including an easily implemented test based on a...</i>
Persistent link: https://www.econbiz.de/10011256590
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Forecasting recessions in real time
Aastveit, Knut Are; Jore, Anne Sofie; Ravazzolo, Francesco - Norges Bank - 2014
provides the most reasonable definition of business cycles. The forecasting exercise, where the models are augmented with …
Persistent link: https://www.econbiz.de/10010835410
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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.; Ravazzolo, Francesco; Dijk, … - Tinbergen Institute - 2011
Patton and Timmermann (2011, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', <I>Journal of Business & Economic Statistics</I>, forthcoming) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...</i>
Persistent link: https://www.econbiz.de/10009322510
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Identification and real-time forecasting of Norwegian business cycles
Aastveit, Knut Are; Jore, Anne Sofie; Ravazzolo, Francesco - Norges Bank - 2015
-of-sample forecasting exercise, focusing on the last recession, we show that univariate Markov-switching models applied to surveys and a …
Persistent link: https://www.econbiz.de/10011277154
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A Scoring Rule for Factor and Autoregressive Models Under Misspecification
Casarin, Roberto - 2018
Factor models (FM) are now widely used for forecasting with large set of time series. Another class of models, which … independent autoregressive processes are assumed for the series in the panel. We compare the forecasting abilities of FM and MAR … establish which conditions need to be satisfied for a FM to overperform MAR in terms of mean square forecasting error. The …
Persistent link: https://www.econbiz.de/10012914092