Showing 1 - 10 of 12,006
This paper evaluates aggregated survey forecasts with forecast horizons of 3, 12, and 24 months for the exchange rates … common forecast accuracy measures. Additionally, the rationality of the exchange rate predictions are assessed utilizing …
Persistent link: https://www.econbiz.de/10011741554
forecasts based on pooled and individual estimates and develop a novel forecast poolability test that can be used as a … stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage …
Persistent link: https://www.econbiz.de/10013176894
shrinkage methods, following Stock and Watson (2012) and Kim and Swanson (2013a), to forecast CPI inflation, GDP growth, exports … clearer as the forecast horizons lengthens. Specifically, in forecasting for more volatile periods like the global financial … orders received, and employment variables. Surprisingly, the monetary aggregates or price variables are never found to …
Persistent link: https://www.econbiz.de/10013026042
A large set of financial variables has only limited power to predict a latent factor common to the year-ahead forecast … errors for real Gross Domestic Product (GDP) growth, the unemployment rate, and Consumer Price Index (CPI) inflation for …
Persistent link: https://www.econbiz.de/10011817884
shrinkage methods, following Stock and Watson (2012) and Kim and Swanson (2013a), to forecast CPI inflation, GDP growth, exports … clearer as the forecast horizons lengthens. Specifically, in forecasting for more volatile periods like the global financial … orders received, and employment variables. Surprisingly, the monetary aggregates or price variables are never found to …
Persistent link: https://www.econbiz.de/10012973666
This chapter summarizes recent literature on asymptotic inference about forecasts. Both analytical and simulation based methods are discussed. The emphasis is on techniques applicable when the number of competing models is small. Techniques applicable when a large number of models is compared to...
Persistent link: https://www.econbiz.de/10014023703
around 40 stocks from more than 1800 potential stocks using NYSE stock price data. Both applications reveal that the …
Persistent link: https://www.econbiz.de/10012961663
Persistent link: https://www.econbiz.de/10001503758
A two-regime self-exciting threshold autoregressive process is estimated for quarterly aggregate GDP of the fifteen countries that compose the European Union, and the forecasts from this nonlinear model are compared, by means of a Monte Carlo simulation, with those from a simple autoregressive...
Persistent link: https://www.econbiz.de/10009714284
This study explores the predictive power of new estimators of the equity variance risk premium and conditional variance for future excess stock market returns, economic activity, and financial instability, both during and after the last global financial crisis. These estimators are obtained from...
Persistent link: https://www.econbiz.de/10012925879