In this study, we analyzed the forecasting and nowcasting performance of a generalized regression neural network (GRNN). We provide evidence from Monte Carlo simulations for the relative forecast performance of GRNN depending on the data-generating process. We show that GRNN outperforms an...

Using data from Germany, Japan, UK, and the U.S., we explore possible threshold cointegration in nominal short- and long-run interest rates with corresponding inflation rates. Traditional cointegration implies perfect mean reversion in real rates and hence confirms the Fisher hypothesis....

In this paper we study new nonlinear GARCH models mainly designed for time series with highly persistent volatility. For such series, conventional GARCH models have often proved unsatisfactory because they tend to exaggerate volatility persistence and exhibit poor forecasting ability. Our main...

The future development of population size and structure is of importance since planning in many areas of politics and business is conducted based on expectations about the future makeup of the population. Countries with both decreasing mortality and low fertility rates, which is the case for...

Good forecasts for future fertility developments are of high importance in political planning, especially regarding measures in social insurance. Fertility is the main driver of demographic change, since small fertility rates lead to a shrinking population and together with decreasing mortality...

Population forecasts are crucial for many social, political and economic decisions. Official population projections rely in general on deterministic models which use different scenarios for future vital rates to indicate uncertainty. However, this technique shows substantial weak points such as...

Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as GARCH models, are investigated, to determine...