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Forecasting international financial stress : the role of climate risks
Del Fava, Santino; Gupta, Rangan; Pierdzioch, Christian; … - In: Journal of international financial markets, … 92 (2024), pp. 1-22
Persistent link: https://www.econbiz.de/10014535723
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Forecasting international financial stress : the role of climate risks
Del Fava, Santino; Gupta, Rangan; Pierdzioch, Christian; … - 2023
Persistent link: https://www.econbiz.de/10014364827
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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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Does systemic risk in the financial sector predict future economic downturns?
Allen, Linda; Bali, Turan G.; Tang, Yi - In: The review of financial studies 25 (2012) 10, pp. 3000-3036
Persistent link: https://www.econbiz.de/10009630178
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A creepy world
Sornette, Didier; Cauwels, Peter - 2013
history where a small event had a cataclysmic consequence, we propose a novel view of the current state of the world via the …
Persistent link: https://www.econbiz.de/10010257508
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Dynamic prediction pools : an investigation of financial frictions and forecasting performance
Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014
Persistent link: https://www.econbiz.de/10010418097
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Dynamic prediction pools : an investigation of financial frictions and forecasting performance
Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014
Persistent link: https://www.econbiz.de/10010430597
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Dynamic prediction pools : an investigation of financial frictions and forecasting performance
Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014
react in a timely fashion to changes in the environment, leading to real-time forecast improvements relative to other … methods of density forecast combination, such as Bayesian model averaging, optimal (static) pools, and equal weights. We show …
Persistent link: https://www.econbiz.de/10010414783
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Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?
Allen, Linda - 2012
We derive a measure of aggregate systemic risk, designated CATFIN, that complements bank-specific systemic risk measures by forecasting macroeconomic downturns six months into the future using out-of-sample tests conducted with US, European and Asian bank data. Consistent with bank...
Persistent link: https://www.econbiz.de/10013116044
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Forecasting the Global Financial Crisis in the Years 2009-2010 : Ex-Post Analysis
Fantazzini, Dean - 2011
The ex-ante forecast of the SP500 index discussed in Fantazzini (2010a), covering the time sample 14 … the SP500 index trailed the forecasted values quite well, moving inside the forecast confidence bands for over a year …/08/2010, the stock market index never returned inside the forecast confidence bands. Additional evidence is then provided to show …
Persistent link: https://www.econbiz.de/10013117963