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Foreign exchange predictability during the financial crisis : implications for carry trade profitability
Anatolyev, Stanislav; Gospodinov, Nikolaj; Jamali, Ibrahim - 2015
returns. Our results suggest that the decomposition model produces higher forecast and directional accuracy than any of the …
Persistent link: https://www.econbiz.de/10011313235
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Efficient Yield Curve Estimation and Forecasting in Brazil
Caldeira, João - 2013
general. In this paper, we used the Diebold-Li interpretation to the Nelson Siegel model in order to fit and forecast the … and efficiently estimated using the Kalman filter. The results obtained for the fit and for the forecast showed that the … Kalman filter is the most suitable method for the estimation of the model, generating better forecast for all maturities when …
Persistent link: https://www.econbiz.de/10013090757
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The Combination of Forecasts : An Application of a Time-Varying Simple Weighting Method to Inflation Forecasts in Turkey
Saz, Gökhan - 2011
the exhaustive literature of forecast combinations and apply our newly developed combination method to test for the …
Persistent link: https://www.econbiz.de/10013124997
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Real-time consideration of systematic patterns in Maltese GDP data and revisions
Debono, Nathaniel - 2024
Economic policies are generally formulated on the basis of data available in real time, which might subsequently be revised. Implicitly, the possibility of data revisions creates an element of uncertainty around the very same data driving policy decisions. Given that such uncertainty could be...
Persistent link: https://www.econbiz.de/10014461449
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Adaptive order flow forecasting with multiplicative error models
Härdle, Wolfgang; Mihoci, Andrija; Ting, Christopher … - 2014
A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...
Persistent link: https://www.econbiz.de/10010374563
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Forecasts with Single-Equation Markov-Switching Model : An Application to the Gross Domestic Product of Latvia
Buss, Ginters - 2010
The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single-equation Markov-switching (MS) models for two cases: when leading information is available and when it is not. The results show that single-equation MS models tend to perform...
Persistent link: https://www.econbiz.de/10013147524
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Nowcasting GDP with a large factor model space
Eraslan, Sercan; Schröder, Maximilian - 2019
German GDP. Our recursive out-of-sample forecast evaluation results reveal that our framework is able to generate forecasts … superior to those obtained from a naive and more competitive benchmark models. These forecast gains seem to emerge especially …
Persistent link: https://www.econbiz.de/10012119825
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Nowcasting GDP through the lens of economic states
Boudt, Kris; De Block, Arno; Langenus, Geert; Reusens, Peter - 2023
Common sense tells that historical data are more informative for the estimation of today's nowcasting models when observed in a similar economic state as today. We operationalise this intuition by proposing a state-based weighted estimation procedure of GDP nowcasting models, in which...
Persistent link: https://www.econbiz.de/10014450791
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The role of comovement and time-varying dynamics in forecasting commodity prices
Allayioti, Anastasia; Venditti, Fabrizio - 2024
forecast accuracy are small, with predictability varying substantially across forecast horizons and commodity indices, but they …
Persistent link: https://www.econbiz.de/10014486704
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"Déjà vol" revisited : survey forecasts of macroeconomic variables predict volatility in the cross-section of industry portfolios
Conrad, Christian; Glas, Alexander - 2018
We investigate the question of whether macroeconomic variables contain information about future stock volatility beyond that contained in past volatility. We show that forecasts of GDP growth from the Federal Reserve's Survey of Professional Forecasters predict volatility in a cross-section of...
Persistent link: https://www.econbiz.de/10011914124