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Forecasting inflation time series using score-driven dynamic models and combination methods : the case of Brazil
Castro, Carlos Henrique Dias Cordeiro de; Aiube, … - In: Journal of forecasting 42 (2023) 2, pp. 369-401
Persistent link: https://www.econbiz.de/10014292183
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Can VPIN Forecast Geopolitical Events? Evidence from the 2014 Crimean Crisis
Silva, Felipe Bastos G. - 2018
We study the recent Crimean Crisis and the sequence of outcomes that led to the intervention by the Russian Army, which directly affected equity prices in Russia, to investigate how informed traders may have used their advantage to trade prior to the moment markets fell. We compute the...
Persistent link: https://www.econbiz.de/10012935657
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Forecasting Emerging Market FX Spot Rates : An AR(1) approach
Maroney, Daniel - 2019
This paper outlines a method to forecast FX spot rates. The data set consists of the Bloomberg FX spot rates for … returns in all three FX spot rates. The use of an out-sample to test the applicability of the AR(1) forecast supplements the …
Persistent link: https://www.econbiz.de/10012859939
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Forecast in Capital Markets
Ledenyov, Dimitri - 2016
Persistent link: https://www.econbiz.de/10012987861
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The usefulness of the median CPI in Bayesian VARs used for macroeconomic forecasting and policy
Meyer, Brent; Zaman, Saeed - 2016
statistics in forecasting inflation has often been relegated to simple univariate or Phillips curve approaches, thus limiting … extreme trimmed-mean measure - the median CPI - improves the forecasts of both core and headline inflation (CPI and personal … consumption expenditures) across our set of monthly and quarterly BVARs. Although the inflation forecasting improvements are …
Persistent link: https://www.econbiz.de/10011561107
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On the uncertainty of a combined forecast : the critical role of correlation
Magnus, Jan R.; Vasnev, Andrey L. - 2022
Persistent link: https://www.econbiz.de/10012940051
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A BVAR model for forecasting Ukrainian inflation and GDP
Shapovalenko, Nadiia - In: Visnyk Nacionalʹnoho Banku Ukraïny (2021) 251, pp. 14-36
Persistent link: https://www.econbiz.de/10013040931
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Forecasting and forecast narratives : the Bank of England Inflation Reports
Clements, Michael P.; Reade, J. James - In: International journal of forecasting 36 (2020) 4, pp. 1488-1500
Persistent link: https://www.econbiz.de/10012547039
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Forecasting inflation with online prices
Aparicio, Diego; Bertolotto, Manuel I. - In: International journal of forecasting 36 (2020) 2, pp. 232-247
Persistent link: https://www.econbiz.de/10012414701
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Inflation forecast : just use the disaggregate or combine it with the aggregate
Chaudhuri, Kausik; Bhaduri, Saumitra N. - In: Journal of quantitative economics 17 (2019) 2, pp. 331-343
Persistent link: https://www.econbiz.de/10012418672