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Forecasting with Bayesian global vector autoregressive models : a comparison of priors

Crespo Cuaresma, Jesús; Feldkircher, Martin; Huber, Florian - 2013 - This version: November 2013

This paper puts forward a Bayesian version of the global vector autoregressive model (B-GVAR) that accommodates international linkages across countries in a system of vec-tor autoregressions. We compare the predictive performance of B-GVAR models for the one- and four-quarter ahead forecast...

Persistent link: https://www.econbiz.de/10011505823

Forecasting errors, directional accuracy and proﬁtability of currency trading : the case of EUR/USD exchange rate

Costantini, Mauro; Crespo Cuaresma, Jesús; Hlouskova, … - In: Journal of forecasting 35 (2016) 7, pp. 652-668

Persistent link: https://www.econbiz.de/10011610301

Last night a shrinkage saved my life : economic growth, model uncertainty and correlated regressors

Hofmarcher, Paul; Crespo Cuaresma, Jesús; Grün, Bettina; … - In: Journal of forecasting 34 (2015) 2, pp. 133-144

Persistent link: https://www.econbiz.de/10011305284

Forecasting with global vector autoregressive models : a Bayesian approach

Crespo Cuaresma, Jesús; Feldkircher, Martin; Huber, Florian - In: Journal of applied econometrics 31 (2016) 7, pp. 1371-1391

Persistent link: https://www.econbiz.de/10011687530

Weighting schemes in global VAR modelling : a forecasting exercise

Martin, Florian; Crespo Cuaresma, Jesús - In: Letters in spatial and resource sciences : LSRS 10 (2017) 1, pp. 45-56

Persistent link: https://www.econbiz.de/10011689450

Forecasting European GDP using self-exciting threshold autoregressive models : a warning

Crespo Cuaresma, Jesús - 2000

Persistent link: https://www.econbiz.de/10001503758

Forecasting electricity spot prices using linear univariate time series models

Crespo Cuaresma, Jesús; Hlouskova, Jaroslava; … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002180693

Forecasting exchange rates in transition economies : a comparison of multivariate time series models

Crespo Cuaresma, Jesús; Hlouskova, Jaroslava - In: Empirical economics : a journal of the Institute for … 29 (2004) 4, pp. 787-801

Persistent link: https://www.econbiz.de/10002478940

Modelling and forecasting oil prices : the role of asymmetric cycles

Crespo Cuaresma, Jesús; Jumah, Adusei; Karbuz, Sohbet - In: The energy journal 30 (2009) 3, pp. 81-90

Persistent link: https://www.econbiz.de/10003866012

Could markets have helped predict the puzzling exchange rate path in CESEE countries during the current crisis?

Crespo Cuaresma, Jesús; Geršl, Adam; Slačík, Tomáš - In: Focus on European economic integration (2010) 1, pp. 32-48

Persistent link: https://www.econbiz.de/10003944883