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Surprise and uncertainty indexes : real-time aggregation of real-activity macro surprises
Scotti, Chiara - 2013
Persistent link: https://www.econbiz.de/10010206853
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Predicting recessions with interest rate spreads : a multicountry regime-switching analysis
Ahrens, Ralf - 1999
This study uses Markov-switching models to evaluate the informational content of the term structure as a predictor of recessions in eight OECD countries. The empirical results suggest that for all countries the term spread is sensibly modelled as a two-state regime-switching process. Moreover,...
Persistent link: https://www.econbiz.de/10009768273
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Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan; Paolella, Marc S. - 2003
Persistent link: https://www.econbiz.de/10001788591
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Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan; Paolella, Marc S. - In: Handbook of heavy tailed distributions in finance, (pp. 385-404). 2003
Persistent link: https://www.econbiz.de/10001882139
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Forecasting foreign exchange rates with an intrinsically nonlinear dynamic speed of adjustment model
Lin, Winston T. - In: Applied economics 30 (1998) 3, pp. 295-312
Persistent link: https://www.econbiz.de/10001243881
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Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan; Paolella, Marc S. - 2003
returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of …
Persistent link: https://www.econbiz.de/10009765347
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Real-Time Learning, Macroeconomic Uncertainty, and the Variance Risk Premium
Bianchi, Daniele - 2015
The variance risk premium represents the compensation paid to index option sellers for the risk of losses following … produce a sizable and volatile variance risk premium. These shocks coincide with major events such as the LTCM/Russian crisis … risk premium, generating short-term predictability for market excess returns, consistent with the data. In addition, the …
Persistent link: https://www.econbiz.de/10013034741
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Forecasting international tourism with due regard to asymmetric income effects
Smeral, Egon - In: Tourism economics : the business and finance of tourism … 20 (2014) 1, pp. 61-72
Persistent link: https://www.econbiz.de/10010254424
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Subjective unemployment expectations and (self-) insurance
Hartmann, Ida Maria; Leth-Petersen, Søren - 2023
We study how individual unemployment expectations are shaped and updated using a unique longitudinal survey data set with subjective unemployment expectations. The survey data is linked with third-party reported administrative data on unemployment realizations, such that we are able to examine...
Persistent link: https://www.econbiz.de/10013468547
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Modeling and forecasting macroeconomic downside risk
Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - 2021
Persistent link: https://www.econbiz.de/10012612441