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Toward a theory of evaluating predictive accuracy
Kunst, Robert M.; Jumah, Adusei - 2004
We suggest a theoretical basis for the comparative evaluation of forecasts. Instead of the general assumption that the …
Persistent link: https://www.econbiz.de/10009728977
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Toward a theory of evaluating predictive accuracy
Kunst, Robert M.; Jumah, Adusei - 2004
Persistent link: https://www.econbiz.de/10002433735
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Forecasting macroeconomic time series with locally adaptive signal extraction
Giordani, Paolo; Villani, Mattias - 2009
We introduce a non-Gaussian dynamic mixture model for macroeconomic forecasting. The Locally Adaptive Signal Extraction and Regression (LASER) model is designed to capture relatively persistent AR processes (signal) contaminated by high frequency noise. The distribution of the innovations in...
Persistent link: https://www.econbiz.de/10003896105
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On the economic evaluation of volatility forecasts
Voev, Valeri - 2009
Persistent link: https://www.econbiz.de/10003903525
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Forecasting macroeconomic time series with locally adaptive signal extraction
Giordani, Paolo; Villani, Mattias - In: International journal of forecasting 26 (2010) 2, pp. 312-325
Persistent link: https://www.econbiz.de/10003980375
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Forecast evaluations for volatile time series : a generalized Theil decomposition
Polasek, Wolfgang - 1999
Persistent link: https://www.econbiz.de/10001433671
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Answering the skeptics : yes, standard volatility models do provide accurate forecasts
Andersen, Torben - In: International economic review 39 (1998) 4, pp. 885-905
Persistent link: https://www.econbiz.de/10001338809
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On the Economic Evaluation of Volatility Forecasts
Voev, Valeri - 2009
We analyze the applicability of economic criteria for volatility forecast evaluation based on unconditional measures of … evaluation. An important implication is that forecasting superiority of models using high frequency data is likely to be …
Persistent link: https://www.econbiz.de/10013153598
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Forecasting Macroeconomic Time Series with Locally Adaptive Signal Extraction
Giordani, Paolo; Villani, Mattias - 2010
We introduce a non-Gaussian dynamic mixture model for macroeconomic forecasting. The locally adaptive signal extraction and regression (LASER) model is designed to capture relatively persistent AR processes (signal) which are contaminated by high frequency noise. The distributions of the...
Persistent link: https://www.econbiz.de/10014198092
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Essays on forecasting and forecast evaluation
Pohle, Marc-Oliver - 2021
Persistent link: https://www.econbiz.de/10013370753