In this paper the out-of-sample prediction of Value-at-Risk by means of models accounting for higher moment dynamics is studied. We consider models differing in terms of skewness and urtosis and, in particular, the GARCHDSK model, which allows for dynamic skewness and kurtosis. The issue of VaR...

Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag model is chosen. The results show that a sharp...

This paper uses a meta-analysis to survey existing factor forecast applications for output and inflation and assesses what causes large factor models to perform better or more poorly at forecasting than other models. Our results suggest that factor models tend to outperform small models, whereas...

Even with the presence of numerous institutional players in the market, there exist a noticeable number of cash group shares which are hardly transacted. To sustain the growth of investors in the market, there is need for assuring easy and quick liquidity to the securities. To serve the same...

This paper evaluates short-run out-of-sample exchange rate predictability with real-time data for 15 OECD countries from 1973 to 2013. We consider the Taylor rule fundamentals model, where the variables that enter the Taylor rule are used to forecast exchange rate changes, and the Taylor rule...

This paper examines the predictive power of five linear hedonic pricing models for the residential market with varying complexity in their spatial and temporal structure. In contrast to similar studies, we extend the out-of-sample forecast evaluation to one-day-ahead predictions with a rolling...

This paper proposes a predictive maintenance policy using modified failure mode effect and criticality analysis (Mod-FMECA) technique. FMECA is used to identify failure modes, reasons, effects and criticality of the system (machine/plant) but in Mod-FMECA in addition to the analysis carried for...

In this paper, we put DSGE forecasts in competition with factor forecasts. We focus on these two models since they represent nicely the two opposing forecasting philosophies. The DSGE model on the one hand has a strong theoretical economic background; the factor model on the other hand is mainly...

This paper presents an innovative approach to extracting factors which are shown to predict the VIX, the S&P 500 Realized Volatility and the Variance Risk Premium. The approach is innovative along two different dimensions, namely: (1) we extract factors from panels of filtered volatilities - in...