Similar Search Results

Forecast-error-based estimation of forecast uncertainty when the horizon is increased

Knüppel, Malte - 2014

(2014) in order to relax the condition on the data structure required for the SUR estimator to be independent from unknown … quantities. It turns out that the SUR estimator of forecast uncertainty tends to deliver large efficiency gains compared to the … OLS estimator (i.e. the sample mean of the squared forecast errors) in the case of increased forecast horizons. The SUR …

Persistent link: https://www.econbiz.de/10010465566

Efficient estimation of forecast uncertainty based on recent forecast errors

Knüppel, Malte - In: International journal of forecasting 30 (2014) 2, pp. 257-267

Persistent link: https://www.econbiz.de/10010510940

Efficient estimation of forecast uncertainty based on recent forecast errors

Knüppel, Malte - 2009

uncertainty of the Bank of England. -- Multi-step-ahead forecasts ; forecast error variance ; GLS ; SUR …

Persistent link: https://www.econbiz.de/10003882901

Efficient Estimation of Forecast Uncertainty Based on Recent Forecast Errors

Knüppel, Malte - 2016

Multi-step-ahead forecasts of forecast uncertainty in practice are often based on the horizon-specific sample means of recent squared forecast errors, where the number of available past forecast errors decreases one-to-one with the forecast horizon. In this paper, the efficiency gains from the...

Persistent link: https://www.econbiz.de/10012991108

Forecast-error-based estimation of forecast uncertainty when the horizon is increased

Knüppel, Malte - In: International journal of forecasting 34 (2018) 1, pp. 105-116

Persistent link: https://www.econbiz.de/10012030847

Forecast-Error-Based Estimation of Forecast Uncertainty When the Horizon is Increased

Knüppel, Malte - 2016

(2014) in order to relax the condition on the data structure required for the SUR estimator to be independent from unknown … quantities. It turns out that the SUR estimator of forecast uncertainty tends to deliver large e¢ ciency gains compared to the … OLS estimator (i.e. the sample mean of the squared forecast errors) in the case of increased forecast horizons. The SUR …

Persistent link: https://www.econbiz.de/10012988712

Combined Density Nowcasting in an Uncertain Economic Environment

Aastveit, Knut Are - 2014

We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...

Persistent link: https://www.econbiz.de/10013040417

Combined Density Nowcasting in an Uncertain Economic Environment

Aastveit, Knut Are - 2015

Persistent link: https://www.econbiz.de/10013023300

Assessing the Uncertainty in Central Banks' Inflation Outlooks

Knüppel, Malte - 2019

Recent research has found that macroeconomic survey forecasts of uncertainty exhibit several deficiencies, such as horizon-dependent biases and lower accuracy than simple unconditional uncertainty forecasts. We examine the inflation uncertainty forecasts from the Bank of England, the Banco...

Persistent link: https://www.econbiz.de/10012893251

Consistency of Risk Measure Estimates

Davis, Mark - 2013

Recently there has been renewed debate about the relative merits of VaR and CVaR as measures of financial risk. VaR is not coherent and does not quantify the risk beyond VaR, while CVaR shows some computational instabilities and is not 'elicitable' (Gneiting 2010, Ziegel 2013). It is argued in...

Persistent link: https://www.econbiz.de/10013074242