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Chapter 9 Approximate Nonlinear Forecasting Methods

White, Halbert - 2006

We review key aspects of forecasting using nonlinear models. Because economic models are typically misspecified, the resulting forecasts provide only an approximation to the best possible forecast. Although it is in principle possible to obtain superior approximations to the optimal forecast...

Persistent link: https://www.econbiz.de/10014023697

Delinquency model predictive power among low-documentation loans

Jiang, Wei; Nelson, Ashlyn Aiko; Vytlacil, Edward - In: Economics letters 120 (2013) 2, pp. 171-173

Persistent link: https://www.econbiz.de/10010127798

On accuracy of survey forecasts of US mortgage spread

Baghestani, Hamid - In: Cogent economics & finance 6 (2018) 1, pp. 1-10

The cyclical variation behavior of the mortgage spread has motivated some studies to investigate its relationship to … economic activity. Indeed, recent empirical findings indicate that the mortgage spread is a determinant/predictor of economic … activity. We define the mortgage spread as the difference between the 30-year mortgage and 10-year Treasury rates and ask …

Persistent link: https://www.econbiz.de/10011905193

Risk Forecasting in the Light of Big Data

Kernchen, Roman - 2020

Life in modern society is increasingly connected by networks that link the world around us and create many new opportunities, services and benefits for humanity. But at the same time, the underlying networks have created pathways through which potentially hazardous and damaging incidents can...

Persistent link: https://www.econbiz.de/10012830728

Combining forecasts? : keep it simple

Lis, Szymon; Chlebus, Marcin - In: Central European economic journal 10 (2023) 57, pp. 343-370

This study contrasts GARCH models with diverse combined forecast techniques for Commodities Value at Risk (VaR) modeling, aiming to enhance accuracy and provide novel insights. Employing daily returns data from 2000 to 2020 for gold, silver, oil, gas, and copper, various combination methods are...

Persistent link: https://www.econbiz.de/10014445140

Multiperiod Default Probability Forecasting

Blümke, Oliver - 2022

Accounting standards require that financial institutions must measure default risk with respect to the full maturity of a financial instrument. This requires forecasting of future default probabilities. The forecast of future default probabilities concerns two aspects: forecasting macroeconomic...

Persistent link: https://www.econbiz.de/10013405518

A structural hidden Markov model for forecasting scenario probabilities for portfolio loan loss provisions

Blümke, Oliver - 2022

Accounting standards require from financial institutions to consider and forecast multiple macroe- conomic scenarios when calculating loan loss provisions. Loan loss provisions protect a financial institutions against losses. But how to determine objectively the number of scenarios and to...

Persistent link: https://www.econbiz.de/10013405621

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

Benchmarking short term forecasts of regional banknote lodgements and withdrawals

Sonnleitner, Benedikt; Stapf, Jelena; Wulff, Kai - 2024

Among the most important tasks of central banks is to ensure the availability of cash to credit institutions and retailers. Forecasting the demand for cash on a granular level is crucial in the process to keep logistics costs low, while being resilient to demand or supply shocks. Whereas to...

Persistent link: https://www.econbiz.de/10015079884

Forecasting Corporate Defaults in the German Stock Market

Mertens, Richard - 2016

We estimate and test several default risk models using new and unique data on corporate defaults in the German stock market. While defaults were extremely rare events in the 1990s, they have been a characteristic feature of the German stock market since the early 2000s. We apply the structural...

Persistent link: https://www.econbiz.de/10012983935