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Chapter 13 Forecasting Seasonal Time Series

Ghysels, Eric; Osborn, Denise R.; Rodrigues, Paulo M.M. - 2006

integrated models and deterministic seasonality models. As well as examining how forecasts are computed in each case, the …. Section 3 discusses less traditional models, specifically nonlinear seasonal models and models for seasonality in variance …. Such nonlinear models primarily concentrate on interactions between seasonality and the business cycle, either using a …

Persistent link: https://www.econbiz.de/10014023693

Seasonal adjustment of the Spanish sales daily data

Cuevas, Ángel; Ledo, Ramiro; Quilis, Enrique M. - In: SERIEs : Journal of the Spanish Economic Association 12 (2021) 4, pp. 687-708

We present a procedure to perform seasonal adjustment over daily sales data. The model adjusts daily information from the Immediate Supply of Information System for Value Added Tax declaration forms compiled by the Spanish Tax Agency. The procedure performs signal extraction and forecasting at...

Persistent link: https://www.econbiz.de/10012694357

On optimal currency areas and common cycles : are the acceding countries ready to join the euro?

Grimm, Louisa; Steinkamp, Sven; Westermann, Frank - 2021

The former EU president Jean-Claude Junker has proposed that all countries of the European Union should also adopt the euro as their currency and recent research has shown that countries currently pursuing this goal indeed fulfill the classical Optimal Currency Area (OCA) criterion of positively...

Persistent link: https://www.econbiz.de/10012506932

On optimal currency areas and common cycles : are the acceding countries ready to join the euro?

Grimm, Louisa; Steinkamp, Sven; Westermann, Frank - 2021

Persistent link: https://www.econbiz.de/10012499619

Testing the monetary model for exchange rate determination in South Africa : evidence from 101 years of data

De Bruyn, Riané; Gupta, Rangan; Stander, Lardo - In: Contemporary economics 7 (2013) 1, pp. 19-32

Evidence in favor of the monetary model of exchange rate determination for the South African Rand is, at best, mixed. A co-integrating relationship between the nominal exchange rate and monetary fundamentals forms the basis of the monetary model. With the econometric literature suggesting that...

Persistent link: https://www.econbiz.de/10009770376

Macroeconomic Stress-Testing of Mortgage Default Rate Using a Vector Error Correction Model and Entropy Pooling

Ardia, David - 2017

We propose a methodology to perform macroeconomic stress-testing on the probability of default of a given borrowers' population (i.e., aggregate probability of default) through simulation from a vector error correction model and entropy pooling (Meucci, 2008)

Persistent link: https://www.econbiz.de/10012968851

Can Macroeconomists Get Rich Nowcasting Output Gap Turning Points with a Simple Machine-Learning Algorithm?

Raffinot, Thomas - 2017

To nowcast output gap turning points, probabilistic indicators are created from a simple and transparent machine-learning algorithm known as Learning Vector Quantization. The real-time ability of the indicators to quickly and accurately detect economic turning points in the United States and in...

Persistent link: https://www.econbiz.de/10012972314

Tracking Economic Activity With Alternative High-Frequency Data

Eckert, Florian; Kronenberg, Philipp; Mikosch, Heiner; … - 2022

Most macroeconomic series failed to capture the sharp fluctuations during the COVID-19 pandemic. Also, it proved difficult to extract business cycle information from alternative high-frequency data. We present a Bayesian mixed-frequency dynamic factor model with stochastic volatility for...

Persistent link: https://www.econbiz.de/10014237213

An Alternative Measure of Economic Slack to Forecast Core Inflation

Sharma, Saurabh - 2021

Assessing macroeconomic demand conditions is critical for monetary policy to gaugeimminent inflationary pressures. Generally, measures of output gap, calculated byapplying statistical filters on GDP data, are used for this purpose. GDP data, however,are released only at quarterly frequency with...

Persistent link: https://www.econbiz.de/10013214672

Ex-post and ex-ante forecasts of spot prices in bulk shipping in a period of economic crisis using simultaneous equation models

Geomelos, Nikolaos D.; Xideas, Evangelos - In: Spoudai : journal of economics and business 64 (2014) 2, pp. 14-39

The paper deals with forecasting of spot prices in bulk shipping using simultaneous equations models (SEMs) during the present economic crisis, emphasizing the importance of such models in empirical applied economics and for decision-makers. The SEMs predictive performance on the spot market is...

Persistent link: https://www.econbiz.de/10010470672