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Zeitpunkten werden präsentiert und diskutiert. -- Mehrländermodell ; Prognose ; Bayesianische Ökonometrie …
Persistent link: https://www.econbiz.de/10003950731
quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden- Württemberg …-indicator, pooled and factor forecasts in a pseudo real-time setting. Our results show that we can significantly increase forecast …
Persistent link: https://www.econbiz.de/10010350218
quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden …. Our results show that we can significantly increase forecast accuracy compared to an autoregressive benchmark model, both …
Persistent link: https://www.econbiz.de/10011685344
-of-sample forecast evaluation setup, we are able to find informative forecasts for most of the underlying GDP components. We then show … first, that both approaches already yield informative aggregate forecasts for forecast horizons of up to 28 weeks and second …, that combining the production side and the demand side projections substantially improves the forecast performance, in …
Persistent link: https://www.econbiz.de/10011900715
relative to industrial production and orders in Germany. Although we find evidence that forecast characteristics based on real …
Persistent link: https://www.econbiz.de/10011595370
. Unbiasedness depends on the forecast horizon being analyzed, with longer-term four-quarter-ahead forecasts being biased. I …
Persistent link: https://www.econbiz.de/10012304607
distribution of the forecast errors made by the institutes, and then fit a skewed t-distribution to the estimated quantiles. We use … the resulting density forecasts to compute the log probability score of the predicted forecast errors. Based on an …
Persistent link: https://www.econbiz.de/10012285443
research institutes when they formed their forecasts helps to explain the ex-post realized forecast errors. We identify the … that several topics have predictive value for the forecast errors. …
Persistent link: https://www.econbiz.de/10012293435
Based on German business cycle forecast reports covering 10 German institutions for the period 1993-2017, the paper …
Persistent link: https://www.econbiz.de/10012293448
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...
Persistent link: https://www.econbiz.de/10012910119