Showing 1 - 10 of 10
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The past few years have seen an extraordinary interest in complexsystems. Essential to the understanding of results and predictions developed by new methodologies in this arena is a basic understanding of what determinism and random process means for political/economic/social sciences from the...
Persistent link: https://www.econbiz.de/10014079538
We present a comparison of the forecasting performances of three Dynamic Factor Models on a large monthly data panel of macroeconomic and financial time series for the UE economy. The first model relies on static principal-component and was introduced by Stock and Watson. The second is based on...
Persistent link: https://www.econbiz.de/10012963486
We analyze the properties of multiperiod forecasts which are formulated by a number of companies for a fixed horizon ahead which moves each month one period closer and are collected and diffused each month by some polling agency. Some descriptive evidence and a formal model suggest that knowing...
Persistent link: https://www.econbiz.de/10010504318
We study the correct estimation of the true variance of the predictor in stochastic Kriging (SK). First, we obtain macroreplications for a SK metamodel that approximates a single-server simulation model; these macroreplications give independently and identically distributed predictions. This...
Persistent link: https://www.econbiz.de/10013017383
This paper provides a flexible multi-factor framework to address some ongoing challenges in mortality modeling, with a special focus on the mortality curvature and possible mortality plateau for extremely old ages. We extend the Gompertz law Gompertz (1825) by proposing a multi-factor...
Persistent link: https://www.econbiz.de/10012846497
This paper proposes a new way of displaying and analyzing macroeconomic time series to form recession forecasts. The proposed data displays contain the last three years of each expansion. These allow observers to see for themselves what is different about the last year before recession. Based on...
Persistent link: https://www.econbiz.de/10013334464
Mathematical forecasting approaches can lead to reliable demand forecast in some environments by extrapolating regular patterns in time-series. However, unpredictable events that do not appear in historical data can reduce the usefulness of mathematical forecasts for demand planning purposes....
Persistent link: https://www.econbiz.de/10014153247
We consider 1927 borrowers from 54 countries who had a credit rating by both Moody's and S&P at the end of 1998, and their subsequent default history up to the end of 2002. Viewing bond ratings as predicted probabilities of default, we consider partial orderings among competing probability...
Persistent link: https://www.econbiz.de/10014075237
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