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Incorporating short data into large mixed- frequency VARs for regional nowcasting
Koop, Gary; McIntyre, Stuart; Mitchell, James; Poon, Aubrey - 2023
Persistent link: https://www.econbiz.de/10014316254
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Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model
Bekiros, Stelios; Paccagnini, Alessia - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 2, pp. 107-136
Persistent link: https://www.econbiz.de/10011313595
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The limited usefulness of macroeconomic Bayesian VARs when estimating the probability of a US recession
Österholm, Pär - In: Journal of macroeconomics 34 (2012) 1, pp. 76-86
Persistent link: https://www.econbiz.de/10009624475
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Large time-varying parameter VARs : a non-parametric approach
Kapetanios, George; Marcellino, Massimiliano; Venditti, … - 2017
Persistent link: https://www.econbiz.de/10011959996
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Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.; Hauzenberger, Klemens - In: The econometrics journal 24 (2021) 3, pp. 442-461
Persistent link: https://www.econbiz.de/10012620715
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Empirical simultaneous confidence regions for path-forecasts
Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010
Persistent link: https://www.econbiz.de/10003976664
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Empirical simultaneous confidence regions for path-forecasts
Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010
Persistent link: https://www.econbiz.de/10003960556
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Empirical simultaneous confidence regions for path-forecasts
Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010
-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate …
Persistent link: https://www.econbiz.de/10003962215
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The empirical performance of option-based densities of foreign exchange
Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002542714
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10001656178