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Point and interval forecasts of age-specific fertility rates: a comparison of functional principal component methods

Shang, Han Lin - Department of Econometrics and Business Statistics, … - 2012

-step-ahead to 20-step-ahead forecast error measures, the weighted Hyndman-Ullah method provides the most accurate point and interval …

Persistent link: https://www.econbiz.de/10010542337

Beating the Random Walk: Intraday Seasonality and Volatility in a Developing Stock Market

Goh, Kim-Leng; Kok, Kim-Lian - In: International Journal of Business and Economics 5 (2006) 1, pp. 41-59

the Malaysian stock market. A simple model incorporating intraday seasonality can have lower forecast errors than a random …-sample and out-of-sample forecasts. The updating of parameter estimates of these volatility models at each new forecast origin to … incorporate the latest available information leads to further improvement in forecast performance. …

Persistent link: https://www.econbiz.de/10010599000

Central Bank Modelling and Variables Doing Random Walks

Tatay, Tibor; Kotosz, Balázs - In: Public Finance Quarterly 58 (2013) 4, pp. 434-451

are taught in every economics course; however, at times theory fails to work perfectly in practice. In our paper, we … modelling framework supporting the making of monetary policy decisions. Many input variables of inflation forecast models are …

Persistent link: https://www.econbiz.de/10010826254

Forecasting the Price of Gold

Hassani, Hossein; Silva, Emmanuel Sirimal; Gupta, Rangan; … - Department of Economics, Faculty of Economic and … - 2014

This paper seeks to evaluate the appropriateness of a variety of existing forecasting techniques (17 methods) at providing accurate, and statistically significant forecasts for gold price. We report the results from the 9 most competitive techniques. Special consideration is given to the ability...

Persistent link: https://www.econbiz.de/10011105516

Forecasting the Price of Gold

Hassani, Hossein; Silva, Emmanuel Sirimal; Gupta, Rangan - Institut de Préparation à l'Administration et à la … - 2014

Persistent link: https://www.econbiz.de/10010891026

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Souto, Marcos; Barnhill, Theodore M. - International Monetary Fund (IMF) - 2007

Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance models and find that no model has consistently outperformed the others. We also show that it is possible to increase the probability mass toward the tails and to match reasonably...

Persistent link: https://www.econbiz.de/10005825598

Impact of different mortality forecasting methods and explicit assumptions on projected future life expectancy: The case of the Netherlands

Stoeldraijer, Lenny; Duin, Coen van; Wissen, L.J.G van; … - In: Demographic Research 29 (2013) 13, pp. 323-354

Persistent link: https://www.econbiz.de/10010711744

The Profitability of Carry Trade Relative to a Forecasting-Based Strategy - La profittabilità del carry trade comparata ad una strategia basata sulle previsioni

Moosa, Imad A.; Halteh, Pashaar - In: Economia Internazionale / International Economics 65 (2012) 4, pp. 605-621

Six currency combinations are used to study the comparative profitability of carry trade and a forecasting-based strategy. The results show that the forecasting-based strategy outperforms straight carry trade in terms of return and risk-adjusted return. The implication of these results is that...

Persistent link: https://www.econbiz.de/10010991467

Non-monotonic penalizing for the number of structural breaks

Reschenhofer, Erhard; Preinerstorfer, David; … - In: Computational Statistics 28 (2013) 6, pp. 2585-2598

This paper first reduces the problem of detecting structural breaks in a random walk to that of finding the best subset of explanatory variables in a regression model and then tailors various subset selection criteria to this specific problem. Of particular interest are those new criteria, which...

Persistent link: https://www.econbiz.de/10010998427

Exchange Rates and Fundamentals: Closing a Two-country Model

Kano, Takashi - Crawford School of Public Policy, Australian National … - 2013

In an influential paper, Engel and West (2005) claim that the near random-walk behavior of nominal exchange rates is an equilibrium outcome of a variant of present-value models when economic fundamentals follow exogenous first-order integrated processes and the discount factor approaches one....

Persistent link: https://www.econbiz.de/10010860354

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