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The forecast performance of the empirical ESTAR model of Taylor et al. (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample evaluation period of nearly 12 years. Point as well as density forecasts are evaluated relative to a simple AR(1) specification, considering...
Persistent link: https://www.econbiz.de/10015215469
finance; for such tasks as pattern reorganization, and time series forecasting, have dramatically increased. Many central … banks use forecasting models based on ANN methodology for predicting various macroeconomic indicators, like inflation, GDP … ANN model with conventional univariate time series forecasting models such as AR(1) and ARIMA based models and observed …
Persistent link: https://www.econbiz.de/10015216499
The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample evaluation period of nearly 12 years. Point as well as density forecasts are constructed, considering forecast horizons of 1 to 22...
Persistent link: https://www.econbiz.de/10015217744
In the present document it is exposed in an abstract way the models of credit portfolioes CreditMetricsTM, KMV, CreditRisk+, Credit Portfolio View in such a way that they could be calibrated and implemented in financial institutions where the quality and quantity of credit information is scanty,...
Persistent link: https://www.econbiz.de/10015218094
paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed …
Persistent link: https://www.econbiz.de/10015218160
paper analyzes how optimal Litterman prior changes when an economy is hit by a recession. For this task, an autoregressive …
Persistent link: https://www.econbiz.de/10015218632
I generate priors for a VAR from four competing models of economic fluctuations: a standard RBC model, Fisher’s (2006) investment-specific technology shocks model, an RBC model with capital adjustment costs and habit formation, and a sticky price model with an unaccommodating monetary...
Persistent link: https://www.econbiz.de/10015218693
paper analyzes how optimal Litterman prior changes when an economy is hit by a recession. For this task, an autoregressive …
Persistent link: https://www.econbiz.de/10015218829
Contrary to their significance for the adjustment of econometric models, dummy variables are seldom addressed in the literature. They serve as a tool for improving the fit of the model equations to the data and with it the prognostic performance of a model, at least lastly. Referring to the...
Persistent link: https://www.econbiz.de/10015219303
(Quarterly Forecasting and Simulation Model) -- for economic and fiscal forecasting and simulation exercises. As with any large macroeconomic …
Persistent link: https://www.econbiz.de/10015219703