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The relation between overreaction in forecasts and uncertainty : a nonlinear approach
Leppin, Julian Sebastian - 2014 - This version: November 2014
account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression …
Persistent link: https://www.econbiz.de/10010438928
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The relation between overreaction in forecasts and uncertainty : a nonlinear approach ; conference paper
Leppin, Julian Sebastian - 2014 - This version: February 2014
This paper examines if overreaction of oil price forecasters is affected by uncertainty. Furthermore, it takes into account joint effects of uncertainty and oil price returns on forecast changes. The panel smooth transition regression model from Gonz alez et al. (2005) is applied with univariate...
Persistent link: https://www.econbiz.de/10010480543
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Coupling high-frequency data with nonlinear models in multiple-step-ahead forecasting of energy markets' volatility
Baruník, Jozef; Křehlík, Tomáš - 2014
In the past decade, the popularity of realized measures and various linear models for volatility forecasting has … the ongoing debate with a comprehensive evaluation of multiple-step-ahead volatility forecasts of energy markets using … commonly used to forecast realized volatility, this paper also contributes to the literature by coupling realized measures with …
Persistent link: https://www.econbiz.de/10010429924
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Coupling High-Frequency Data with Nonlinear Models in Multiple-Step-Ahead Forecasting of Energy Markets' Volatility
Baruník, Jozef - 2015
In the past decade, the popularity of realized measures and various linear models for volatility forecasting has … the ongoing debate with a comprehensive evaluation of multiple-step-ahead volatility forecasts of energy markets using … commonly used to forecast realized volatility, this paper also contributes to the literature by coupling realized measures with …
Persistent link: https://www.econbiz.de/10013033742
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Macroeconomic uncertainty and forecasting macroeconomic aggregates
Reif, Magnus - 2018
Can information on macroeconomic uncertainty improve the forecast accuracy for key macroeconomic time series for the US? Since previous studies have demonstrated that the link between the real economy and uncertainty is subject to nonlinearities, I assess the predictive power of macroeconomic...
Persistent link: https://www.econbiz.de/10011918367
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Policy and Spillover Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach
Vitek, Francis - 2014
This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover...
Persistent link: https://www.econbiz.de/10013040410
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Policy Analysis and Forecasting in the World Economy : A Panel Unobserved Components Approach
Vitek, Francis - 2012
This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model features a monetary transmission mechanism, a fiscal transmission mechanism, and extensive macrofinancial linkages, both within...
Persistent link: https://www.econbiz.de/10013102206
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Nonlinear forecast of financial time series through dynamical calendar correction
Leontitsis, Alexandros; Siriopoulos, Costas - In: Applied financial economics letters 2 (2006) 5, pp. 337-340
Persistent link: https://www.econbiz.de/10003369904
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Does Risk Aversion Predict the Future Real Economy Well? Testing the Predictive Power of Risk Aversion Proxies
Kim, Jinhwan; Cho, Hoon; Ryu, Doojin - 2023
-based and theory-based risk aversion indicators have poor predictive performance for future REA and risk aversion proxy based on …This study examines the predictive ability of various risk aversion indicators for future real economic activity (REA …’s risk aversion. However, we show that risk aversion indicators commonly used by researchers and financial institutions are …
Persistent link: https://www.econbiz.de/10014352523
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The asymmetric effects of uncertainty on macroeconomic activity
Jones, Paul; Enders, Walter - In: Macroeconomic dynamics 20 (2016) 5, pp. 1219-1246
Persistent link: https://www.econbiz.de/10011623157