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nowcasting performance of these models against the benchmark model in terms of the out-of-sample root mean square error at three …
Persistent link: https://www.econbiz.de/10013393564
The European Commission’s growth forecasts play a crucial role in shaping policies and provide a benchmark for many (national) forecasters. The annual forecasts are built on quarterly estimates, which do not receive much attention and are hardly known. Therefore, this paper provides a...
Persistent link: https://www.econbiz.de/10015078241
Stock and bond are the two most crucial assets for portfolio allocation and risk management. This study proposes generalized autoregressive score mixed frequency data sampling (GAS MIDAS) copula models to analyze the dynamic dependence between stock returns and bond returns. A GAS MIDAS copula...
Persistent link: https://www.econbiz.de/10012668024
We tackle the nowcasting problem at the regional level using a large set of indicators (regional, national and …
Persistent link: https://www.econbiz.de/10010515377
We use a novel data set covering all domestic debit card transactions in physical terminals by Norwegian households, to nowcast quarterly Norwegian household consumption. These card payments data are free of sampling errors and are available weekly without delays, providing a valuable early...
Persistent link: https://www.econbiz.de/10012417489
Economic forecasts are an important element of rational economic policy both on the federal and on the local or regional level. Solid budgetary plans for government expenditures and revenues rely on efficient macroeconomic projections. However, official data on quarterly regional GDP in Germany...
Persistent link: https://www.econbiz.de/10012146339
sogenannten "Nowcasting"-Modellen, deren Prognosegüte mit jedem neu verfügbaren, das deutsche Bruttoinlandsprodukt beeinflussenden …-up-Modellierung Nowcasting-Prognosen für das deutsche Bruttoinlandsprodukt ermöglicht. Hierbei bringt es mit der verwendeten Kombination von … Modellen einen neuen Ansatz in die aktuelle Literatur des Nowcasting für das deutsche Bruttoinlandsprodukt ein. Durch die …
Persistent link: https://www.econbiz.de/10011641149
We analyze the performance of a broad range of nowcasting and short-term forecasting models for a representative set of … indicators that come from a comparable set of identical data. We show that nowcasting works well for the new EU countries because … nowcasting is on average somewhat larger. …
Persistent link: https://www.econbiz.de/10012172202
forecasting macroeconomic key variables such as GDP. However, the DFM has some weaknesses. For nowcasting, the dynamic factor …
Persistent link: https://www.econbiz.de/10011566828
Mixed frequency Bayesian vector autoregressions (MF-BVARs) allow forecasters to incorporate a large number of mixed frequency indicators into forecasts of economic activity. This paper evaluates the forecast performance of MF-BVARs relative to surveys of professional forecasters and investigates...
Persistent link: https://www.econbiz.de/10011485951