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Density forecasting using Bayesian global vector autoregressions with stochastic volatility
Huber, Florian - In: International journal of forecasting 32 (2016) 3, pp. 818-837
Persistent link: https://www.econbiz.de/10011621824
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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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The impact of uncertainty on professional exchange rate forecasts
Beckmann, Joscha; Czudaj, Robert - 2016
Bayesian VAR approach, we observe that effects on forecast errors of professionals turn out to be more significant compared to …. Basierend auf einem Bayesianischen VAR-Modell finden wir, dass eine Steigerung von Unsicherheit oftmals den Prognosefehler …
Persistent link: https://www.econbiz.de/10011532311
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The ENSO effect and asymmetries in wheat price dynamics
Ubilava, David - In: World development : the multi-disciplinary … 96 (2017), pp. 490-502
Persistent link: https://www.econbiz.de/10011763162
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The impact of uncertainty on professional exchange rate forecasts
Beckmann, Joscha; Czudaj, Robert - In: Journal of international money and finance 73 (2017), pp. 296-316
Persistent link: https://www.econbiz.de/10011787733
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Multivariate autoregressive models for forecasting seaborne trade flows
Veenstra, Albert Willem; Haralambides, Hercules E. - In: Transportation research / E : an international journal 37 (2001) 4, pp. 311-319
Persistent link: https://www.econbiz.de/10001578911
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Predicting international equity returns: evidence from time-varying parameter vector autoregressive models
Gupta, Rangan; Huber, Florian; Piribauer, Philipp - In: International review of financial analysis 68 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012300967
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Average skewness in global equity markets
Atilgan, Yigit; Demirtas, K. Ozgur; Günaydin, A. Doruk; … - In: International review of finance : the official journal … 23 (2023) 2, pp. 245-271
Persistent link: https://www.econbiz.de/10014326300
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Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility : International Evidence
Degiannakis, Stavros Antonios - 2018
specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide … whether or not accounting for long memory in the conditional variance specification improves the accuracy of the VaR and ES … model does not appear to improve the accuracy of the VaR forecasts for the 1-dayahead,10-day-ahead and 20-day …
Persistent link: https://www.econbiz.de/10012910119
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Modelos de series de tiempo para el pronóstico de precios de minerales
Araníbar del Alcázar, Jaime - In: Análisis económico 14 (1996), pp. 29-76
Persistent link: https://www.econbiz.de/10001231308