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Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy
van Dijk, Dick; Franses, Philip Hans - Faculteit der Economische Wetenschappen, Erasmus … - 2003
found to perform better in out-of-sample forecasting than a benchmark linear model. An empirical illustration for US GDP …
Persistent link: https://www.econbiz.de/10010731787
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Forecasting euro-area variables with German pre-EMU data
Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, … - 2006
period 1970Q1 - 2003Q4 for ten macroeconomic variables. The years 2000 - 2003 are used as forecasting period. A range of … different univariate forecasting methods is applied. Some of them are based on linear autoregressive models and we also use some … forecasting variables which need considerable adjustments in their levels when joining German and EMU data. These results suggest …
Persistent link: https://www.econbiz.de/10010263654
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Predicting inflation in Euroland: the Pstar approach
Scheide, Joachim; Trabandt, Mathias - 2000
Inflation is a monetary phenomenon. While this statement is widely accepted in terms of a long-run relationship, the quantity theory has been made operational also for the short-run dynamics of inflation by so-called Pstar models. An error correction model with quarterly data for the Euro Area...
Persistent link: https://www.econbiz.de/10010265458
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Google searches as a means of improving the nowcasts of key macroeconomic variables
Kholodilin, Konstantin Arkadievich; Podstawski, Maximilian - 2009
subject to revisions. This makes them an excellent source of information for the macroeconomic forecasting. …
Persistent link: https://www.econbiz.de/10010274377
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Forecasting economic activity using a neural network in uncertain times: Monte Carlo evidence and application to the German GDP
Holtemöller, Oliver; Kozyrev, Boris - 2024
In this study, we analyzed the forecasting and nowcasting performance of a generalized regression neural network (GRNN …
Persistent link: https://www.econbiz.de/10014502562
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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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Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep; Swanson, Norman R. - 2013
forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …
Persistent link: https://www.econbiz.de/10010334248
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The informational content of over-the-counter currency options
Christoffersen, Peter; Mazzotta, Stefano - 2004
Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset...
Persistent link: https://www.econbiz.de/10011604412
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Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data
Diron, Marie - 2006
Economic policy makers, international organisations and private-sector forecasters commonly use short-term forecasts of real GDP growth based on monthly indicators, such as industrial production, retail sales and confidence surveys. An assessment of the reliability of such tools and of the...
Persistent link: https://www.econbiz.de/10011604668
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Early estimates of euro area real GDP growth: a bottom up approach from the production side
Hahn, Elke; Skudelny, Frauke - 2008
as a pseudo real time forecasting exercise, i.e. due account is taken of the pattern of available monthly variables over …
Persistent link: https://www.econbiz.de/10011605021