Similar Search Results

Baumeister, Christiane; Huber, Florian; Marcellino, … - National Bureau of Economic Research - 2024

The substantial fluctuations in oil prices in the wake of the COVID-19 pandemic and the Russian invasion of Ukraine have highlighted the importance of tail events in the global market for crude oil which call for careful risk assessment. In this paper we focus on forecasting tail risks in the...

Persistent link: https://www.econbiz.de/10014544801

Forecasting daily electricity prices with monthly macroeconomic variables

Foroni, Claudia; Ravazzolo, Francesco; Rossini, Luca - 2019

We analyse the importance of macroeconomic information, such as industrial production index and oil price, for forecasting daily electricity prices in two of the main European markets, Germany and Italy. We do that by means of mixed-frequency models, introducing a Bayesian approach to reverse...

Persistent link: https://www.econbiz.de/10011987142

Machine learning in energy forecasts with an application to high frequency electricity consumption data

Heilmann, Erik; Henze, Janosch; Wetzel, Heike - 2021

forecast models. This process is intended to serve as a general guideline for energy economists and practitioners who need to … apply sophisticated forecast models. …

Persistent link: https://www.econbiz.de/10012649104

Toward a theory of evaluating predictive accuracy

Kunst, Robert M.; Jumah, Adusei - 2004

Persistent link: https://www.econbiz.de/10002433735

Does the macroeconomy predict UK asset returns in an nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...

Persistent link: https://www.econbiz.de/10008990694

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 data is generated from a stochastic model, we classify three stages of prediction experiments: pure non-stochastic prediction of given data, stochastic prediction of given data,...

Persistent link: https://www.econbiz.de/10009728977

Combination of forecasts across estimation windows : an application to air travel demand

Jungmittag, Andre - 2014

forecast horizons from one to twelve months-ahead, which are based on different average estimation windows, expanding windows …This paper applies combining forecasts of air travel demand generated from the same model but over different estimation … several ways. The forecasts are based on a seasonal Box-Jenkins model (SARIMA), which is adequate to forecast monthly air …

Persistent link: https://www.econbiz.de/10010367205

How far can we forecast? : statistical tests of the predictive content

Breitung, Jörg; Knüppel, Malte - 2018

Forecasts are useless whenever the forecast error variance fails to be smaller than the unconditional variance of the … forecast horizon h. Following Diebold and Mariano (DM, 1995) we propose a test based on the comparison of the mean …-squared error of the forecast and the sample variance. We show that the resulting test does not possess a limiting normal …

Persistent link: https://www.econbiz.de/10011826055

Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US

Haase, Felix; Neuenkirch, Matthias - 2021 - This Version: January 8, 2021

-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/10012180543

Forecasting European GDP using self-exciting threshold autoregressive models : a warning

Crespo Cuaresma, Jesús - 2000

Persistent link: https://www.econbiz.de/10001503758