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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...
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the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks … models for forecasting financial market meltdowns. Then we set forth a framework capable of forecasting both extreme events … over prevailing models for evaluating stock market risk exposure during distressed market periods. -- ARMA-GARCH model ; α …
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We have argued that from the standpoint of a policy maker, the uncertainty of using the average forecast is not the variance of the average, but rather the average of the variances of the individual forecasts that incorporate idiosyncratic risks. With a slight reformulation of the loss function...
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