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The importance of time‐varying volatility and country interactions in forecasting economic activity
Trypsteen, Steven - In: Journal of forecasting 36 (2017) 6, pp. 615-628
Persistent link: https://www.econbiz.de/10011861398
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Real-time forecasting of the Australian macroeconomy using flexible Bayesian VARs
Hou, Chenghan; Nguyen, Bao; Zhang, Bo - In: Journal of forecasting 42 (2023) 2, pp. 418-451
Persistent link: https://www.econbiz.de/10014292196
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Short-term GDP forecasting with a mixed-frequency dynamic factor model with stochastic volatility
Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 118-127
Persistent link: https://www.econbiz.de/10011691233
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Nowcasting GDP with a pool of factor models and a fast estimation algorithm
Eraslan, Sercan; Schröder, Maximilian - In: International journal of forecasting 39 (2023) 3, pp. 1460-1476
Persistent link: https://www.econbiz.de/10014465295
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Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility
Marcellino, Massimiliano Giuseppe - 2014
to forecast GDP growth at short-term horizons in the euro area. We discuss three sets of empirical results. First, we use … the model to evaluate the impact of macroeconomic releases on point and density forecast accuracy and on the width of … forecast intervals. Second, we show how our setup allows us to make a probabilistic assessment of the contribution of releases …
Persistent link: https://www.econbiz.de/10013064512
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Assessing the uncertainty in central banks' inflation outlooks
Knüppel, Malte; Schultefrankenfeld, Guido - In: International journal of forecasting 35 (2019) 4, pp. 1748-1769
Persistent link: https://www.econbiz.de/10012305527
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A MIDAS approach to modeling first and second moment dynamics
Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of econometrics 193 (2016) 2, pp. 315-334
Persistent link: https://www.econbiz.de/10011704952
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Forecasting the good and bad uncertainties of crude oil prices using a HAR framework
Gong, Xu; Lin, Boqiang - In: Energy economics 67 (2017), pp. 315-327
Persistent link: https://www.econbiz.de/10011897926
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Forecasting exchange rate volatility : is economic policy uncertainty better?
Ruan, Qingsong; Zhang, Jiarui; Lv, Dayong - In: Applied economics 56 (2024) 13, pp. 1526-1544
Persistent link: https://www.econbiz.de/10014473121
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Forecasting Coherent Volatility Breakouts
Didenko, Alexander - 2015
The paper develops an algorithm for making long-term (up to three months ahead) predictions of volatility reversals based on long memory properties of financial time series. The approach for computing fractal dimension using sequence of the minimal covers with decreasing scale is used to...
Persistent link: https://www.econbiz.de/10013024084