Showing 1 - 10 of 162
. The largest forecastingaccuracy gains from including international predictors are at longer forecast horizons …
Persistent link: https://www.econbiz.de/10005866226
to forecast nonlinear ARMA model based simulated data and real data of financial returns. The forecasting ability of the … focus on fit in-sample, but SVR considers both fit and forecast out-of-sample which endows SVR with an excellent forecasting …
Persistent link: https://www.econbiz.de/10005860490
Standard models of international risk sharing with complete asset markets predict a positive association between relative consumption growth and real exchange-rate depreciations across countries. The striking lack of evidence for this link - the consumption/real-exchange-rate anomaly or...
Persistent link: https://www.econbiz.de/10005871071
Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic general equilibrium (DSGE) models. Central banks in developed and emerging market economies have become increasingly interested in their usefulness for policy analysis and...
Persistent link: https://www.econbiz.de/10009305062
. This paper proposes a number ofapproaches to forecast short-term changes in selected world economic vari-ables and aims …
Persistent link: https://www.econbiz.de/10005866572
Bayesian Model Averaging (BMA) has recently been discussed in the financial literature as an effective way to account for model uncertainty. In this paper we compare BMA to a new model uncertainty framework introduced by Yang (2004), called Aggregate Forecasting Through Exponential Reweighting,...
Persistent link: https://www.econbiz.de/10005858532
, which ignore certain sources of uncertainty, may yield misleadingly sure predictions. Totest the forecast ability of our …
Persistent link: https://www.econbiz.de/10005860485
Recent research has shown that relaxing the assumptions of complete informationand common knowledge in exchange rate models can shed light on a wide range ofimportant exchange rate puzzles. In this chapter, we review a number of models wehave developed in previous work that relax the strong...
Persistent link: https://www.econbiz.de/10009418984
absolute forecast errors nonlinear models outperform both, a common linear model and some specification building on the …
Persistent link: https://www.econbiz.de/10005861000
This paper presents a framework for analysing the effects of economicdevelopment in Eastern Europe on Austria's regions. Therefore we concentrate on the effects of enhanced East-West trade, which results from the economic development in the transition countries.
Persistent link: https://www.econbiz.de/10005852132