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Forecasting gross value-added at the regional level : are sectoral disaggregated predictions superior to direct ones?

Lehmann, Robert; Wohlrabe, Klaus - 2013

In this paper, we ask whether it is possible to forecast gross value-added (GVA) and its sectoral subcomponents at the regional level. With an autoregressive distributed lag model we forecast total and sectoral GVA for one German state (Saxony) with more than 300 indicators from different...

Persistent link: https://www.econbiz.de/10010213032

Forecasting the Estonian rate of inflation using factor models

Reigl, Nicolas - In: Baltic journal of economics 17 (2017) 2, pp. 152-189

(VAR) forecasting models. The analyses show that certain factor-augmented VAR models improve upon a simple univariate …

Persistent link: https://www.econbiz.de/10011890976

Forecasting Swedish inflation with a Markov switching VAR

Blix, Mårten - 1999

Viewed over the whole available history of fiat money in Sweden, high levels of inflation have been present only over a short time span. It is only in the last two decades - the seventies and the eighties - that inflation has been high, at an average of eight percent on an annual basis. Based on...

Persistent link: https://www.econbiz.de/10011584828

An Inflation-Predicting Measure of the Output Gap in the Euro Area

Jarocinski, Marek - 2016

Using a small Bayesian dynamic factor model of the euro area we estimate the deviations of output from its trend that are consistent with the behavior of inflation. We label these deviations the output gap. In order to pin-down the features of the model, we evaluate the accuracy of real-time...

Persistent link: https://www.econbiz.de/10012981025

Unobserved Components with Stochastic Volatility in U.S. Inflation : Estimation and Signal Extraction

Li, Mengheng - 2018

We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...

Persistent link: https://www.econbiz.de/10012924242

Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction

Li, Mengheng; Koopman, Siem Jan - 2018

Persistent link: https://www.econbiz.de/10011809984

A trend factor : Any economic gains from using information over investment horizons?

Han, Yufeng; Zhou, Guofu; Zhu, Yingzi - In: Journal of financial economics 122 (2016) 2, pp. 352-375

Persistent link: https://www.econbiz.de/10011590910

Linear predictability vs. bull and bear market models in strategic asset allocation decisions : evidence from UK data

Guidolin, Massimo; Hyde, Stuart - 2012

Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that … simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against … simple Markov switching, by studying the effects of expanding both the order of the VAR and the number/selection of predictor …

Persistent link: https://www.econbiz.de/10009658243

Predicting risk premia in short-term interest rates and exchange rates

Gräb, Johannes; Kostka, Thomas - 2018

We assess the ability of yield curve factors to predict risk premia in short-term interest rates and exchange rates across a large sample of major advanced economies. We find that the same tick-shaped linear combination of (relative) bond yields predicts risk premia in both short-term interest...

Persistent link: https://www.econbiz.de/10011802134

Commodity futures return predictability and intertemporal asset pricing

Cotter, John; Eyiah-Donkor, Emmanuel; Potì, Valerio - 2020

We find out-of-sample predictability of commodity futures excess returns using forecast combinations of 28 potential … predictability is countercyclical, and the combination forecasts of commodity returns have significantly positive predictive power …

Persistent link: https://www.econbiz.de/10012418356