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Short-term forecasting with mixed-frequency data: A MIDASSO approach
Siliverstovs, Boriss - 2015
-Sampling approach (U-MIDAS) (see Foroni et al., 2015; Castle et al., 2009; Bec and Mogliani, 2013), and the LASSO-type penalised …
Persistent link: https://www.econbiz.de/10011307779
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Dissecting the Purchasing Managers' Index: Are all relevant components included? Are all included components relevant?
Siliverstovs, Boriss - 2015
We apply the novel approach of Siliverstovs (2015) to modelling data sampled at different frequencies in order to scrutinise the composition of one of the most influential economic indicators in Switzerland. The Purchasing Managers' Index consists of eight sub-indices out of which only five...
Persistent link: https://www.econbiz.de/10011307780
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MIDAS modeling for core inflation forecasting
Libonatti, Luis - 2017
. Various classes of MIDAS models are found to produce a slight boost in terms of out-of-sample predictive performance at …
Persistent link: https://www.econbiz.de/10012057263
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MIDAS modeling for core inflation forecasting
Libonatti, Luis - 2018
This paper presents a forecasting exercise that assesses the predictive potential of a daily price index based on online prices. Prices are compiled using web scrapping services provided by the private company PriceStats in cooperation with a finance research corporation, State Street Global...
Persistent link: https://www.econbiz.de/10012141919
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Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts
Benavides, Guillermo; Capistrán, Carlos - 2009
This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, unconditional combinations, and hybrid forecasts. Superior forecasting performance is...
Persistent link: https://www.econbiz.de/10010322599
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Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models
Röthig, Andreas; Chiarella, Carl - 2006
This article explores nonlinearities in the response of speculators' trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition...
Persistent link: https://www.econbiz.de/10010266873
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Exchange rate risk premium: An analysis of its determinants for the Mexican Peso-USD
Benavides, Guillermo - 2016
The objective of this paper is to analyze what are the main determinants of the exchange rate risk premium (ERP). The empirical case is conducted for the daily Mexican peso-USD exchange rate for a sample period from 2007 until 2015. According to the results the ERP is influenced by several...
Persistent link: https://www.econbiz.de/10011788935
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Quantile regression in risk calibration
Chao, Shih-Kang; Härdle, Wolfgang Karl; Wang, Weining - 2012
Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the interdependency of risk factors. Given a...
Persistent link: https://www.econbiz.de/10010281552
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A time-varying parameter vector autoregression model for forecasting emerging market exchange rates
Kumar, Manish - In: International Journal of Economic Sciences and Applied … 3 (2010) 2, pp. 21-39
In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...
Persistent link: https://www.econbiz.de/10010289449
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Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP
Marcellino, Massimiliano; Schumacher, Christian - 2007
', using different versions of what we call factor-based mixed-data sampling (Factor-MIDAS) approaches. We compare all possible … combinations of factor estimation methods and Factor-MIDAS projections with respect to nowcast performance. Additionally, we …. Concerning the projections, the most parsimonious MIDAS projection performs best overall. Finally, quarterly models are in …
Persistent link: https://www.econbiz.de/10010295871