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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
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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
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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
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Aggregation of experts opinions and the assessment of tipping points : catastrophic forecasts for higher temperature changes
Basili, Marcello; Crudu, Federico - 2021
Persistent link: https://www.econbiz.de/10013166311
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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
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Demand forecasting in supply chains : a review of aggregation and hierarchical approaches
Babai, M. Zied; Boylan, John E.; Rostami-Tabar, Bahman - In: International journal of production research 60 (2022) 1, pp. 324-348
Persistent link: https://www.econbiz.de/10012873142
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When 2 + 2 should be 5 : the summation fallacy in time prediction
Halkjelsvik, Torleif; Jørgensen, Magne - In: Journal of behavioral decision making 35 (2022) 3, pp. 1-13
Persistent link: https://www.econbiz.de/10013279757
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Weigh(t)ing the basket : aggregate and component-based inflation forecasts for the euro area
Chalmovianský, Jakub; Porqueddu, Mario; Sokol, Andrej - 2020
We compare direct forecasts of HICP and HICP excluding energy and food in the euro area and five member countries to aggregated forecasts of their main components from large Bayesian VARs with a shared set of predictors. We focus on conditional point and density forecasts, in line with...
Persistent link: https://www.econbiz.de/10012384462
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Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - In: Journal of financial econometrics : official journal of … 15 (2017) 4, pp. 649-677
Persistent link: https://www.econbiz.de/10011987663
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The scale of predictability
Bandi, Federico M.; Perron, Bernard; Tamoni, Andrea; … - 2013 - This version: December 19, 2013
Persistent link: https://www.econbiz.de/10011813907