Showing 1 - 10 of 177
-term predictions. Due to the characteristics of the residuals, a bootstrapping method of forecasting was also used, yielding even …
Persistent link: https://www.econbiz.de/10010292409
This paper uses Monte Carlo techniques to assess the loss in terms of forecast accuracy which is incurred when the true DGP exhibits parameter instability which is either overlooked or incorrectly modelled. We find that the loss is considerable when a FCM is estimated instead of the true TVCM,...
Persistent link: https://www.econbiz.de/10010293752
This paper performs a comparative analysis of estimation as well as of out-of-sample forecasting results of more than … estimates of the migration function. Out-of-sample forecasting results indicate the following: (i) the standard fixed effects … variables estimators, (iv) forecasting performance of heterogenous estimators is mediocre in our data set. …
Persistent link: https://www.econbiz.de/10010267584
This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...
Persistent link: https://www.econbiz.de/10010435583
This paper contains a forecasting exercise on 30 time series, ranging on several fields, from economy to ecology. The …
Persistent link: https://www.econbiz.de/10010281250
The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic … accuracy not inferior to that of structural models. Additional advantage of their approach is that the forecasting procedure … can be mostly automated and the influence of subjective decisions made in the forecasting process can be significantly …
Persistent link: https://www.econbiz.de/10010512536
Persistent link: https://www.econbiz.de/10010514782
Persistent link: https://www.econbiz.de/10010517780
Persistent link: https://www.econbiz.de/10011417204
Persistent link: https://www.econbiz.de/10011300484