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Dissecting models' forecasting performance

Siliverstovs, Boriss - 2015

In this paper we suggest an approach to comparison of models' forecasting performance in unstable environments. Our … tracking how the relative forecasting performance of competing models evolves over time. We illustrate the suggested approach …

Persistent link: https://www.econbiz.de/10011382631

Dissecting models' forecasting performance

Siliverstovs, Boriss - In: Economic modelling 67 (2017), pp. 294-299

Persistent link: https://www.econbiz.de/10011813831

Forecasting with a mismatch-enhanced labor market matching function

Hutter, Christian; Weber, Enzo - 2014

This paper investigates the role of mismatch between job seekers and job openings for the forecasting performance of a …-of-sample tests that account for the nested model environment, we find that forecasting models enhanced by the mismatch indicator …

Persistent link: https://www.econbiz.de/10010401765

Forecasting value-at-risk under temporal and portfolio aggregation

Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015

We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a horizon of ten trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts are constructed based on daily, weekly or biweekly...

Persistent link: https://www.econbiz.de/10011431503

Understanding forecast failure of ESTAR models of real exchange rates

Buncic, Daniel - 2009 - This Version : July 23, 2009

The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample eval-uation period of nearly 12 years. Point as well as density forecasts are constructed, considering forecast horizons of 1 to 22...

Persistent link: https://www.econbiz.de/10011523710

Priors from DSGE models for dynamic factor analysis

Bäurle, Gregor - 2008

We propose a method to incorporate information from Dynamic Stochastic General Equilibrium (DSGE) models into Dynamic Factor Analysis. The method combines a procedure previously applied for Bayesian Vector Autoregressions and a Gibbs Sampling approach for Dynamic Factor Models. The factors in...

Persistent link: https://www.econbiz.de/10010316078

Google searches as a means of improving the nowcasts of key macroeconomic variables

Kholodilin, Konstantin Arkadievich; Podstawski, Maximilian - 2009

subject to revisions. This makes them an excellent source of information for the macroeconomic forecasting. …

Persistent link: https://www.econbiz.de/10010274377

Modelling and forecasting oil prices: The role of asymmetric cycles

Crespo Cuaresma, Jesus; Jumah, Adusei; Karbuz, Sohbet - 2007

We propose a new time series model aimed at forecasting crude oil prices. The proposed specification is an unobserved …

Persistent link: https://www.econbiz.de/10010293428

Using wavelets for time series forecasting: Does it pay off?

Schlüter, Stephan; Deuschle, Carola - 2010

incorporating the wavelet transform in existing forecasting methods can improve their quality. The article aims to verify this by … characteristics. We find that wavelets do improve the forecasting quality. Depending on the data's characteristics and on the … forecasting horizon we either favour a denoising step plus an ARIMA forecast or an multiscale wavelet decomposition plus an ARIMA …

Persistent link: https://www.econbiz.de/10010300727

An Alternative Bayesian Approach to Structural Breaks in Time Series Models

van den Hauwe, Sjoerd; Paap, Richard; van Dijk, Dick J.C. - 2011

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

Persistent link: https://www.econbiz.de/10010325904