Similar Search Results

The Warsaw Stock Exchange index WIG : modelling and forecasting

Wdowiński, Piotr; Zglinska-Pietrzak, Aneta - 2005

In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...

Persistent link: https://www.econbiz.de/10010277059

Assessing the real-time informational content of macroeconomic data releases for now-/forecasting GDP: Evidence for Switzerland

Siliverstovs, Boriss; Kholodilin, Konstantin A. - 2010

-on-quarter growth rates in Switzerland. It also assesses the informational content of macroeconomic data releases for forecasting of the … for GDP forecasting although their ranking depends on the underlying transformation of monthly indicators from which the …

Persistent link: https://www.econbiz.de/10010277729

Predicting bid-ask spreads using long memory autoregressive conditional poisson models

Groß-Klußmann, Axel; Hautsch, Nikolaus - 2011

We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown that the LMACP nicely captures salient features of...

Persistent link: https://www.econbiz.de/10010281578

Assessing predictive content of the KOF Barometer in real time

Siliverstovs, Boriss - 2010

We investigate whether the KOF Barometer - a leading indicator regularly released by the KOF Swiss Economic Institute - can be useful for short-term out-of-sample prediction of year-on-year quarterly real GDP growth rates in Switzerland. We find that the KOF Barometer appears to be useful for...

Persistent link: https://www.econbiz.de/10010285792

Forecasting profitability

Rosenzweig, Mark; Udry, Chris - 2013

We use newly-available Indian panel data to estimate how the returns to planting-stage investments vary by rainfall realizations. We show that the forecasts significantly affect farmer investment decisions and that these responses account for a substantial fraction of the inter-annual...

Persistent link: https://www.econbiz.de/10010369064

Is core money growth a good and stable inflation predictor in the euro area?

Carstensen, Kai - 2007

. Using an out-of-sample forecasting exercise and a stability analysis, it is shown that core money growth carries important … information not contained in the inflation history, that its inclusion in a forecasting model can increase the forecasting … forecasting model at all horizons is the one proposed by Gerlach (2004) that includes the inflation gap, the difference between …

Persistent link: https://www.econbiz.de/10010260569

Konjunkturprognosen: Verfahren, Erfolgskontrolle und Prognosefehler

Grömling, Michael - 2005

The economic forecasts for Germany in the period 2001 to 2003 grossly missed reality. Forecasters estimated an average annual growth rate of 1.6 per cent, but real GDP actually grew by only 0.3 per cent per annum. In 2003 the real GDP in Germany even shrank by 0.1 per cent. Forecasters tend to...

Persistent link: https://www.econbiz.de/10010262887

Modeling and Forecasting DAX Index Volatility

Lazarov, Zdravetz - 2004

on some high frequency basis has spurred the research in the field of volatility modeling and forecasting into new …

Persistent link: https://www.econbiz.de/10010263102

Exchange rate uncertainty and trade growth: A comparison of linear and nonlinear (forecasting) models

Herwartz, Helmut; Weber, Henning - 2007

addition, widely used regression models have not been evaluated in terms of ex-ante forecasting. In this paper we analyze the … particularly provide a comparison of linear and nonlinear models with respect to ex-ante forecasting. In terms of average ranks of …

Persistent link: https://www.econbiz.de/10010263693

Cointegration analysis with mixed-frequency data

Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2007

We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...

Persistent link: https://www.econbiz.de/10010264085