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Konjunkturelle Frühindikatoren in der Krise: weiche Faktoren stärker als harte
Kholodilin, Konstantin A.; Kooths, Stefan - In: DIW Wochenbericht 76 (2009) 21, pp. 348-354
Die aktuelle Wirtschaftskrise wirft die Frage auf, ob nicht durch eine bessere Ausschöpfung der in den verschiedenen Frühindikatoren enthaltenen Informationen die aufgetretenen Prognosefehler hätten vermieden werden können. Dies gilt insbesondere vor dem Hintergrund des überraschend...
Persistent link: https://www.econbiz.de/10011602002
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Nowcasting des deutschen BIP
Doll, Jens; Rosenthal, Beatrice; Volkenand, Jonas; … - 2017
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/10011643852
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Nowcasting East German GDP growth : a MIDAS approach
Claudio, João Carlos; Heinisch, Katja; Holtemöller, Oliver - 2019
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
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Nowcasting des deutschen BIP
Doll, Jens; Rosenthal, Beatrice; Volkenand, Jonas; … - 2017
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
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Is the currency risk priced in equity markets?
Giurda, Francesco; Tzavalis, Elias - 2004
In this paper we investigate whether the currency risk is priced in international stock markets. We suggest a parsimonious version of the international capital asset pricing model with an EGARCH-M(1,1) specification of the second moments' dynamics of stock and currency returns, assuming that the...
Persistent link: https://www.econbiz.de/10010284112
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Heuristic model selection for leading indicators in Russia and Germany
Savin, Ivan; Winker, Peter - 2011
Business tendency survey indicators are widely recognized as a key instrument for business cycle forecasting. Their leading indicator property is assessed with regard to forecasting industrial production in Russia and Germany. For this purpose, vector autoregressive (VAR) models are specified...
Persistent link: https://www.econbiz.de/10010286389
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Forecasting GDP at the regional level with many predictors
Lehmann, Robert; Wohlrabe, Klaus - 2012
In this paper, we assess the accuracy of macroeconomic forecasts at the regional level using a unique data set at quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden-Württemberg) and Eastern Germany. We overcome the problem of a...
Persistent link: https://www.econbiz.de/10010288471
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...
Persistent link: https://www.econbiz.de/10003636008
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Heuristic model selection for leading indicators in Russia and Germany
Savin, Ivan; Winker, Peter - 2011
Business tendency survey indicators are widely recognized as a key instrument for business cycle forecasting. Their leading indicator property is assessed with regard to forecasting industrial production in Russia and Germany. For this purpose, vector autoregressive (VAR) models are specified...
Persistent link: https://www.econbiz.de/10008807367
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Assessing the macroeconomic forecasting performance of boosting : evidence for the United States, the Euro Area, and Germany
Buchen, Teresa; Wohlrabe, Klaus - 2013
The use of large datasets for macroeconomic forecasting has received a great deal of interest recently. Boosting is one possible method of using high-dimensional data for this purpose. It is a stage-wise additive modelling procedure, which, in a linear specification, becomes a variable selection...
Persistent link: https://www.econbiz.de/10009721997