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Forecasting European GDP using self-exciting threshold autoregressive models: A warning
Crespo-Cuaresma, Jesus - 2000
-term predictions. Due to the characteristics of the residuals, a bootstrapping method of forecasting was also used, yielding even …
Persistent link: https://www.econbiz.de/10010292409
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Modelling and forecasting oil prices: The role of asymmetric cycles
Crespo Cuaresma, Jesus; Jumah, Adusei; Karbuz, Sohbet - 2007
We propose a new time series model aimed at forecasting crude oil prices. The proposed specification is an unobserved …
Persistent link: https://www.econbiz.de/10010293428
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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 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/10010293709
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Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
Lux, Thomas; Kaizoji, Taisei - 2006
-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …
Persistent link: https://www.econbiz.de/10010294979
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Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models
Lux, Thomas; Kaizoji, Taisei - 2004
-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …
Persistent link: https://www.econbiz.de/10010295136
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Using wavelets for time series forecasting: Does it pay off?
Schlüter, Stephan; Deuschle, Carola - 2010
incorporating the wavelet transform in existing forecasting methods can improve their quality. The article aims to verify this by … characteristics. We find that wavelets do improve the forecasting quality. Depending on the data's characteristics and on the … forecasting horizon we either favour a denoising step plus an ARIMA forecast or an multiscale wavelet decomposition plus an ARIMA …
Persistent link: https://www.econbiz.de/10010300727
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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
van den Hauwe, Sjoerd; Paap, Richard; van Dijk, Dick J.C. - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10010325904
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Forecasting trade
Keck, Alexander; Raubold, Alexander - 2006
This paper develops a set of time series models to provide short-term forecasts (6 to 18 months ahead) of international trade both at the global level and for selected regions. Our results compare favourably to other forecasts, notably by the International Monetary Fund, as measured by standard...
Persistent link: https://www.econbiz.de/10010326691
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Google-haut Suomen asuntojen hintojen ennustajana
Widgrén, Joona - 2016
This report examines whether Google search queries can be used to predict the present and the near future house prices in Finland. Compared to a simple benchmark model, Google searches improve the prediction of the present house price index by 7.5 % measured by mean absolute error. In addition,...
Persistent link: https://www.econbiz.de/10012037683
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Priors from DSGE models for dynamic factor analysis
Bäurle, Gregor - 2008
We propose a method to incorporate information from Dynamic Stochastic General Equilibrium (DSGE) models into Dynamic Factor Analysis. The method combines a procedure previously applied for Bayesian Vector Autoregressions and a Gibbs Sampling approach for Dynamic Factor Models. The factors in...
Persistent link: https://www.econbiz.de/10010316078