This paper explores the specification and use of uncertainty measures in constructions of policy forecasts of money market activity. The concept of a policy forecast implies efforts not only to explicitly condition forecasts on assumptions regarding short-run operating procedures but also to...

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...

A simpler macroeconomic model of a developing economy is developed under the IS-LM and Mundell-Fleming model framework. The model is estimated and evaluated using the quarterly time-series data of Papua New Guinea, a small open developing economy. The macroeconometric version of the model, an...

Several approaches for subset recovery and improved forecasting accuracy have been proposed and studied. One way is to apply a regularization strategy and solve the model selection task as a continuous optimization problem. One of the most popular approaches in this research field is given by...

There are many types of econometric models used in predicting the inflation rate, but in this study we used a Bayesian shrinkage combination approach. This methodology is used in order to improve the predictions accuracy by including information that is not captured by the econometric models....

In this paper we give a detailed exposition of the fifth version of our model of the Italian economy, which is specified as a set of 24 nonlinear stochastic differential equations. We first examine its qualitative properties (steady state solution, structural stability, etc.). We then present...

Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...

It is now an accepted fact that the majority of financial markets worldwide are neither normal nor constant, and South Africa is no exception. One idea that can be used to understand such markets and has been gaining popularity recently is that of regimes and regime-switching models. In this...

Measuring bias is important as it helps identify flaws in quantitative forecasting methods or judgmental forecasts. It can, therefore, potentially help improve forecasts. Despite this, bias tends to be under represented in the literature: many studies focus solely on measuring accuracy. Methods...

The performance of dynamic trading and investment strategies can be difficult to predict. Although not without its problems, analysis of the historical performance of a strategy can provide valuable insight into its general risk and return properties. Furthermore, historical analysis allows one...