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Forecasting correlations during the late-2000s financial crisis: short-run component, long-run component, and structural breaks
Audrino, Francesco - School of Economics and Political Science, Universität … - 2011
We empirically investigate the predictive power of the various components affecting correlations that have been recently introduced in the literature. We focus on models allowing for a flexible specification of the short-run component of correlations as well as the long-run component. Moreover,...
Persistent link: https://www.econbiz.de/10009003405
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Nowcasting GDP in Real-Time: A Density Combination Approach
Jore, Anne Sofie; Thorsrud, Leif Anders; Aastveit, Knut Are - Centre for Applied Macro- and Petroleum economics … - 2011
In this paper we use U.S. real-time vintage data and produce combined density nowcasts for quarterly GDP growth from a system of three commonly used model classes. The density nowcasts are combined in two steps. First, a wide selection of individual models within each model class are combined...
Persistent link: https://www.econbiz.de/10010551362
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Using national payment system data to nowcast economic activity in Azerbaijan
Huseynov, Ilkin; Ramazanova, Nazrin; Valirzayev, Hikmat - 2022
nowcasting performance of these models against the benchmark model in terms of the out-of-sample root mean square error at three …
Persistent link: https://www.econbiz.de/10014374307
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A note on GDP now-/forecasting with dynamic versus static factor models along a business cycle
Buss, Ginters - Volkswirtschaftliche Fakultät, … - 2010
nowcasting performance during a pronounced switch of business cycle phases due to the latest recession. We compare the factor … models' nowcasting performance to a random walk, autoregressive and the best-performing nowcasting models at our hands, which … improve upon the nowcasting performance of the VAR models when the model span and the nowcasting period stretch beyond a …
Persistent link: https://www.econbiz.de/10008470462
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Nowcasting GDP in Real-Time: A Density Combination Approach
Aastveit, Knut Are; Gerdrup, Karsten R.; Jore, Anne Sofie; … - 2011
In this paper we use U.S. real-time vintage data and produce combined density nowcasts for quarterly GDP growth from a system of three commonly used model classes. The density nowcasts are combined in two steps. First, a wide selection of individual models within each model class are combined...
Persistent link: https://www.econbiz.de/10012143776
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Short-Term Forecasting of GDP and Inflation in Real-Time: Norges Bank's System for Averaging Models
Aastveit, Knut Are; Gerdrup, Karsten R.; Jore, Anne Sofie - 2011
In this paper we describe Norges Bank's system for averaging models (SAM) which produces model-based density forecasts for Norwegian Mainland GDP and inflation. We combine the forecasts from three main types of models typically used at central banks: Vector autoregressive models, leading...
Persistent link: https://www.econbiz.de/10012144014
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Using national payment system data to nowcast economic activity in Azerbaijan
Huseynov, Ilkin; Ramazanova, Nazrin; Valirzayev, Hikmat - 2022
nowcasting performance of these models against the benchmark model in terms of the out-of-sample root mean square error at three …
Persistent link: https://www.econbiz.de/10013393564
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U-MIDAS: MIDAS regressions with unrestricted lag polynomials
Foroni, Claudia; Marcellino, Massimiliano; Schumacher, … - C.E.P.R. Discussion Papers - 2012
nowcasting Euro area and US GDP using monthly indicators. …
Persistent link: https://www.econbiz.de/10011084496
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Density forecasts with MIDAS models
Aastveit, Knut Are; Foroni, Claudia; Ravazzolo, Francesco - Centre for Applied Macro- and Petroleum economics … - 2014
In this paper we derive a general parametric bootstrapping approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. We consider both classical and unrestricted MIDAS regressions with and without an autoregressive component. First, we compare the...
Persistent link: https://www.econbiz.de/10010937989
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Density Forecasts with Midas Models
Aastveit, Knut Are; Foroni, Claudia; Ravazzolo, Francesco - 2014
In this paper we derive a general parametric bootstrapping approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. We consider both classical and unrestricted MIDAS regressions with and without an autoregressive component. First, we compare the...
Persistent link: https://www.econbiz.de/10012143848