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Granger Predictability of Oil Prices after the Great Recession
Benk, Szilard - 2019
Real oil prices surged from 2009 through 2014, comparable to the 1970's oil shock period. Standard explanations based on monopoly markup fall short since inflation remained low after 2009. This paper contributes strong evidence of Granger (1969) predictability of nominal factors to oil prices,...
Persistent link: https://www.econbiz.de/10012858386
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Granger Predictability of Oil Prices after the Great Recession
Benk, Szilárd; Gillman, Max - 2020
Real oil prices surged from 2009 through 2014, comparable to the 1970's oil shock period. Standard explanations based on monopoly markup fall short since inflation remained low after 2009. This paper contributes strong evidence of Granger (1969) predictability of nominal factors to oil prices,...
Persistent link: https://www.econbiz.de/10014102288
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Short-term oil models before and during the financial market crisis
Clostermann, Jörg; Keis, Nikolaus; Seitz, Franz - 2010
forecast oil prices out-of-sample up to three months. Two of the models are based on the VAR methodology and consider …
Persistent link: https://www.econbiz.de/10010208782
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Short-term oil models before and during the financial market crisis
Clostermann, Jörg; Keis, Nikolaus; Seitz, Franz - 2010
forecast oil prices out-of-sample up to three months. Two of the models are based on the VAR methodology and consider …
Persistent link: https://www.econbiz.de/10012002868
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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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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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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
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Dynamic Prediction Pools : An Investigation of Financial Frictions and Forecasting Performance
Del Negro, Marco - 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/10013044329
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Dynamic Prediction Pools : An Investigation of Financial Frictions and Forecasting Performance
Del Negro, Marco - 2014
environment, leading to real-time forecast improvements relative to other methods of density forecast combination, such as …
Persistent link: https://www.econbiz.de/10013046125
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New forecasting methods for an old problem : predicting 147 years of systemic financial crises
Plessis, Emile du; Fritsche, Ulrich - 2022
A reflection on the lackluster growth over the decade since the Global Financial Crisis has renewed interest in preventative measures for a long-standing problem. Advances in machine learning algorithms during this period present promising forecasting solutions. In this context, the paper...
Persistent link: https://www.econbiz.de/10013362692