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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 - 2009

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

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

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

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

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 - 2015

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

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

How informative are central bank assessments of macroeconomic risks?

Knüppel, Malte; Schultefrankenfeld, Guido - 2011

Surveying the forecasting practice of several central banks, we find that all these banks issue statements about risks to their macroeconomic forecasts. Often the balance of these risks is assessed as well. Upward [downward] risks to the forecast commonly imply that the outturn is expected to...

Persistent link: https://www.econbiz.de/10009159256

Forecasting and Managing Correlation Risks

Bollerslev, Tim; Li, Sophia Zhengzi; Tang, Yushan - 2022

We propose a novel and easy-to-implement framework for forecasting correlation risks based on a large set of salient realized correlation features and the sparsity-encouraging LASSO technique. Considering the universe of S&P 500 stocks, we find that the new approach manifests in statistically...

Persistent link: https://www.econbiz.de/10014235631

Risk spillovers in international equity portfolios

Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk...

Persistent link: https://www.econbiz.de/10010407672

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