Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short-term interest rates. The set includes vector...

This paper discusses methods to quantify risk and uncertainty in macroeconomic forecasts. Both, parametric and non-parametric procedures are developed. The former are based on a class of asymmetrically weighted normal distributions whereas the latter employ asymmetric bootstrap simulations. Both...

This paper discusses methods to quantify risk and uncertainty in macroeconomic forecasts. Both, parametric and non-parametric procedures are developed. The former are based on a class of asymmetrically weighted normal distributions whereas the latter employ asymmetric bootstrap simulations. Both...

The basic aspects of German and Ukrainian insurance markets development are addressed in this paper. Also, their interrelationships are considered based on the forecasting of most relevant descriptions of insurance activity given the time lag. To this end, correlative-regressive analysis is...

The basic aspects of German and Ukrainian insurance markets development are addressed in this paper. Also, their interrelationships are considered based on the forecasting of most relevant descriptions of insurance activity given the time lag. To this end, correlative-regressive analysis is...

The present study compares the performance of the long memory FIGARCH model, with that of the short memory GARCH specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide. The dataset is comprised of daily data covering...