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Forecasting Euro area real GDP: optimal pooling of information

Hülsewig, Oliver; Mayr, Johannes; Wollmershäuser, Timo - 2008

This paper proposes a new method of forecasting euro area quarterly real GDP that uses area-wide indicators, which are derived by optimally pooling the information contained in national indicator series. Following the ideas of predictive modeling, we construct the area-wide indicators by...

Persistent link: https://www.econbiz.de/10010264416

Modelling high frequency non-financial big time series with an application to jobless claims in Chile

Espasa Terrades, Antoni; Carlomagno, Guillermo - 2023

Persistent link: https://www.econbiz.de/10015173668

Hidden experts in the crowd : using meta-predictions to leverage expertise in single-question prediction problems

Wilkening, Tom; Martinie, Marcellin; Howe, Piers D. L. - In: Management science : journal of the Institute for … 68 (2022) 1, pp. 487-508

Persistent link: https://www.econbiz.de/10012821209

Two reasons to make aggregated probability forecasts more extreme

Baron, Jonathan; Mellers, Barbara A.; Tetlock, Philip E.; … - In: Decision analysis : a journal of the Institute for … 11 (2014) 2, pp. 133-145

Persistent link: https://www.econbiz.de/10010382759

Forecasting aggregates with disaggregate variables : does boosting help to select the most informative predictors? ; conference paper

Zeng, Jing - 2014

Including disaggregate variables or using information extracted from the disaggregate variables into a forecasting model for an eco- nomic aggregate may improve the forecasting accuracy. In this paper we suggest to use boosting as a method to select the disaggregate variables which are most...

Persistent link: https://www.econbiz.de/10010482520

Forecasting value-at-risk under temporal and portfolio aggregation

Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015

We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a … based on asset class, or into a single portfolio. We compare the impact of aggregation to that of choosing a model for the … that the degree of temporal aggregation is most important. Daily returns form the best basis for VaR forecasts. Modelling …

Persistent link: https://www.econbiz.de/10011431503