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Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction

Li, Mengheng; Koopman, Siem Jan - 2018

applied to quarterly and monthly US inflation in an empirical study. We find that the persistence of quarterly inflation has … and density forecasts for monthly US inflation. …

Persistent link: https://www.econbiz.de/10011809984

The empirical modelling of house prices and debt revisited : a policy-oriented perspective

Boug, Pål; Hungnes, Håvard; Kurita, Takamitsu - 2021

The recent boom in house prices in many countries during the Covid-19 pandemic and the possibility of household financial distress are of concern among some central banks. We revisit the empirical modelling of house prices and household debt with a policy-oriented perspective using Norwegian...

Persistent link: https://www.econbiz.de/10012800701

The Impact of Jumps and Leverage in Forecasting Co-Volatility

Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2015

__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects … for forecasting weekly and monthly horizons. …

Persistent link: https://www.econbiz.de/10011274348

Does the macroeconomy predict UK asset returns in an nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...

Persistent link: https://www.econbiz.de/10008990694

Improving market-based forecasts of short-term interest rates : time-varying stationarity and the predictive content of switching regime-expectations

Ahrens, Ralf - 1999

multi-step out-of-sample forecasting competition. It turns out that forecasts are improved substantially when allowing for …

Persistent link: https://www.econbiz.de/10009768272

Testing the monetary model for exchange rate determination in South Africa : evidence from 101 years of data

De Bruyn, Riané; Gupta, Rangan; Stander, Lardo - In: Contemporary economics 7 (2013) 1, pp. 19-32

walk model suggests that the forecasting performance of the monetary model is superior. …

Persistent link: https://www.econbiz.de/10009770376

The impact of jumps and leverage in forecasting co-volatility

Asai, Manabu; McAleer, Michael - 2015

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …

Persistent link: https://www.econbiz.de/10010477100

Forecasting employment for Germany

Hinz, Darius; Logeay, Camille - 2006 - First Version: November 2004, This version: January 9, 2006

This paper deals with the estimation of employment equations for Germany, which are to be used for forecasting and … simulation purposes. The authors estimate both single and system error correction equations for German working hours using …, however, is affected by German reunification and relative factor prices no longer play a significant role. The forecasting …

Persistent link: https://www.econbiz.de/10003744528

Large mixed-frequency VARs with a parsimonious time-varying parameter structure

Götz, Thomas B.; Hauzenberger, Klemens - 2018

To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...

Persistent link: https://www.econbiz.de/10011903709

Forecast with judgment and models

Monti, Francesca - 2008

model. We illustrate the proposed methodology with a real-time forecasting exercise, using a simple neo-Keynesian dynamic …

Persistent link: https://www.econbiz.de/10011599088