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Comparing the DSGE modelwith the factor model:an out-of-sample forecasting experiment

Wang, Mu-Chun - Deutsche Bundesbank <Frankfurt, Main> / … - 2008

In this papaer, we put DSGE forecasts in competition with factor forecasts. We focus on these two models since they represent nicely the two opposing forecasting philosophies. The DSGE model on the one hand has a strong theoretical economic background; the factor model on the other hand is mainly...

Persistent link: https://www.econbiz.de/10005866191

Controllability andPersistence of MoneyMarket Rates along theYield Curve: Evidence fromthe Euro Area

Busch, Ulrike; Nautz, Dieter - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

Controllability of longer-term interest rates requires that the persis-tence of their deviations from the central bank's policy rate (i.e. thepolicy spreads) remains suffciently low. This paper applies fractionalintegration techniques to assess the persistence of policy spreads ofeuro area money...

Persistent link: https://www.econbiz.de/10005865428

Combination ofmultivariate volatilityforecasts

Amendola, Alessandra; Storti, Giuseppe - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009

This paper proposes a novel approach to the combination of conditional covariancematrix forecasts based on the use of the Generalized Method of Moments (GMM). Itis shown how the procedure can be generalized to deal with large dimensional systemsby means of a two-step strategy. The finite sample...

Persistent link: https://www.econbiz.de/10005865451

Determinants of the relative price impact of unanticipated information in U.S. macroeconomic releases

Hess, Dieter - Frankfurt School of Finance & Management - 2003

This paper investigates the intraday response of T-bond futures pricesto surprises in headline figures of U.S. macroeconomic reports. Analyzing thetime series properties and the information content of the macroeconomic newsflow, the paper seeks an answer to the question, what determines the...

Persistent link: https://www.econbiz.de/10005865824

Explaining the US Bond Yield Conundrum

Bandholz, Harm; Clostermann, Jörg; Seitz, Franz - Hochschule für Angewandte Wissenschaften <Amberg - 2007

Einflüsse und/oder strukturelle Faktoren zumniedrigen Niveau der Renditen in den USA in den letzten Jahren beigetragen haben … wie Kerninflation, Geldpolitik und Konjunktur,berücksichtigen wir auch die ausländische Nachfrage nach US …

Persistent link: https://www.econbiz.de/10005866095

Forecasting the world economy in the short-term

Jakaitiene, Audrone; Dées, Stephane - European Central Bank - 2009

Forecasting the world economy is a di¢ cult task given the complex interre-lationships within and across countries. This paper proposes a number ofapproaches to forecast short-term changes in selected world economic vari-ables and aims, rst, at ranking various forecasting methods in terms...

Persistent link: https://www.econbiz.de/10005866572

Empirische Untersuchung derNutzenwirkungen von PPP Projektenauf den Schulbetrieb am Beispiel derSchulen im Kreis Offenbach

Pfnür, Andreas; Weiland, Sonja - Institut für Betriebswirtschaftslehre <Darmstadt> / … - 2009

Die Untersuchung verfolgt das Ziel, Effekte des Einsatzes eines PPP-Modells im Schulbetrieb auf dieNutzer am Beispiel ausgewählter Offenbacher Schulen zu identifizieren. Zu diesem Zweck musste eineüber die rein wirtschaftliche Nutzenperspektive des PPP-Models, wie sie in der bisherigen...

Persistent link: https://www.econbiz.de/10005866635

Non-linear versus non-gaussian volatility models in application to different financial markets

Miazhynskaia, Tatiana; Dorffner, Georg; Dockner, … - 2003

We used neural-network based modelling to generalize the linear econometric return models and compare their out-of-sample predictive ability in terms of different performance measures under three density specifications.(...)

Persistent link: https://www.econbiz.de/10005844728

CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation

Broda, Simon A.; Paolella, Marc S. - Institut für Schweizerisches Bankwesen <Zürich> - 2008

The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This … of the time otherwise required. The proposed method is a two-step procedure, separating the estimation of the correlation … computationally cheap and extremely accurate most notably in the tail, which is crucial for risk calculations. A simulation study …

Persistent link: https://www.econbiz.de/10005857739

A point process approach to Value-at-Risk estimation

Chavez-Demoulin, Valerie; Davison, Anthony C.; McNeil, … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

exceedances more than distant ones, but it also allows theintensity to depend on the marks of the events. Estimates of Value-at-Risk …

Persistent link: https://www.econbiz.de/10005858382