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distribution of the forecast errors made by the institutes, and then fit a skewed t-distribution to the estimated quantiles. We use … the resulting density forecasts to compute the log probability score of the predicted forecast errors. Based on an …
Persistent link: https://www.econbiz.de/10012285443
This paper develops a long-run growth model for a major oil exporting economy and derives conditions under which oil revenues are likely to have a lasting impact. This approach contrasts with the standard literature on the "Dutch disease" and the "resource curse", which primarily focuses on...
Persistent link: https://www.econbiz.de/10009518225
This paper develops a long-run growth model for a major oil exporting economy and derives conditions under which oil revenues are likely to have a lasting impact. This approach contrasts with the standard literature on the "Dutch disease" and the "resource curse", which primarily focuses on...
Persistent link: https://www.econbiz.de/10009535794
commonly used to forecast realized volatility, this paper also contributes to the literature by coupling realized measures with …
Persistent link: https://www.econbiz.de/10010429924
quite rapidly with the forecast horizon, and (b) AugGVAR forecasts do as well as other data-rich forecasting techniques for … short horizons, and tend to do better for longer forecast horizons. …
Persistent link: https://www.econbiz.de/10010438196
for the world and for both the advanced economies and the emerging and developing economies. With a focus on the forecast … months old. In particular, there is an obvious gain using leading indicators from January to March for the forecast of the …
Persistent link: https://www.econbiz.de/10011878368
-frequency data and, at the same time produces a direct forecast of the variance at the desired horizon, without iterating. The MIDAS …
Persistent link: https://www.econbiz.de/10011976983
forecast methodology aims at addressing these challenges. The algorithm is said to be “adaptive” insofar as it adapts to the …
Persistent link: https://www.econbiz.de/10012203223
We provide a methodology that efficiently combines the statistical models of nowcasting with the survey information for improving the (density) nowcasting of US real GDP. Specifically, we use the conventional dynamic factor model together with a stochastic volatility component as the baseline...
Persistent link: https://www.econbiz.de/10012295853
-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …
Persistent link: https://www.econbiz.de/10012416151