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With or without you : do financial data help to forecast industrial production?
Kitlinski, Tobias - 2015
This paper analyzes the forecasting performance of financial market data in comparison to other indicator groups to … evaluate the forecasting performance using a significance test. In addition, we investigate the stability of forecasting models …-term forecasting, especially for the US and longer forecast horizons. Nevertheless, the results indicate that the Great Recession was …
Persistent link: https://www.econbiz.de/10010529472
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Macroeconomics, nonlinearities, and the business cycle
Reif, Magnus - 2019
Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...
Persistent link: https://www.econbiz.de/10012154125
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The evolution of forecast density combinations in economics
Aastveit, Knut Are; Mitchell, James; Ravazzolo, Francesco; … - 2018
Increasingly, professional forecasters and academic researchers present model-based and subjective or judgment-based forecasts in economics which are accompanied by some measure of uncertainty. In its most complete form this measure is a probability density function for future values of the...
Persistent link: https://www.econbiz.de/10011895935
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Business tendency surveys and macroeconomic fluctuations
Kaufmann, Daniel; Scheufele, Rolf - 2015
encouraging. In a pseudo out-of-sample exercise, our approach beats relevant benchmarks for forecasting CPI inflation and an …
Persistent link: https://www.econbiz.de/10010508347
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Nowcasting employment in the euro area
Bańbura, Marta; Belousova, Irina; Bodnár, Katalin; … - 2023
performs favourably compared to the Eurosystem/ECB staff macroeconomic projections, (iv) forecasting performance deteriorates …
Persistent link: https://www.econbiz.de/10014315194
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Forecasting Economy with Bayesian Autoregressive Distributed Lag Model : Choosing Optimal Prior in Economic Downturn
Buss, Ginters - 2009
Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag model is chosen. The results show that a sharp...
Persistent link: https://www.econbiz.de/10013156355
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Periodic unobserved cycles in seasonal time series with an application to US unemployment
Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - 2006
This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …
Persistent link: https://www.econbiz.de/10011350384
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Modeling the Nigerian inflation rates using periodogram and Fourier Series Analysis
Omekara, Chukwuemeka O.; Ekpenyong, Emmanuel J.; … - In: CBN journal of applied statistics 4 (2013) 2, pp. 51-68
This work considers the application of Periodogram and Fourier Series Analysis to model all-items monthly inflation rates in Nigeria from 2003 to 2011. The main objectives are to identify inflation cycles, fit a suitable model to the data and make forecasts of future values. To achieve these...
Persistent link: https://www.econbiz.de/10011474361
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Forecasting inflation in Argentina : a comparison of different models
D'Amato, Laura; Aguirre, Maximiliano Gómez; Garegnani, … - 2018 - First draft: July 2018
agreed. In short, forecasting inflation is of foremost importance to households, businesses, and policymakers. In 2016, the …
Persistent link: https://www.econbiz.de/10011880436
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Forecasting the volatilities of the Nigeria stock market prices
Ibrahim, Sikiru O. - In: CBN journal of applied statistics 8 (2017) 2, pp. 23-45
the Nigeria stock market. The EGARCH model is found to be the most efficient for forecasting volatilities and has the … years. The forecasting performance shows the volatility in the Nigeria stock market to be on the increase for the next four …
Persistent link: https://www.econbiz.de/10011843540