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Forecast-error-based estimation of forecast uncertainty when the horizon is increased
Knüppel, Malte - 2014
(2014) in order to relax the condition on the data structure required for the SUR estimator to be independent from unknown … quantities. It turns out that the SUR estimator of forecast uncertainty tends to deliver large efficiency gains compared to the … OLS estimator (i.e. the sample mean of the squared forecast errors) in the case of increased forecast horizons. The SUR …
Persistent link: https://www.econbiz.de/10010465566
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Efficient estimation of forecast uncertainty based on recent forecast errors
Knüppel, Malte - 2009
uncertainty of the Bank of England. -- Multi-step-ahead forecasts ; forecast error variance ; GLS ; SUR …
Persistent link: https://www.econbiz.de/10003882901
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Assessing the uncertainty in central banks' inflation outlooks
Knüppel, Malte; Schultefrankenfeld, Guido - 2019
Recent research has found that macroeconomic survey forecasts of uncertainty exhibit several deficiencies, such as horizon-dependent biases and lower accuracy than simple unconditional uncertainty forecasts. We examine the inflation uncertainty forecasts from the Bank of England, the Banco...
Persistent link: https://www.econbiz.de/10011962843
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SVARs identification through bounds on the forecast error variance
Volpicella, Alessio - 2019
Sign-restricted Structural Vector Autoregressions (SVARs) are increasingly common. However, they usually result in a set of structural parameters that have very different implications in terms of impulse responses, elasticities, historical decomposition and forecast error variance decomposition...
Persistent link: https://www.econbiz.de/10012037315
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Forecasting inflation in Argentina
Garegnani, María Lorena; Gómez Aguirre, Maximiliano - 2018
In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models...
Persistent link: https://www.econbiz.de/10011882797
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Combined density nowcasting in an uncertain economic environment
Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - 2014
We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...
Persistent link: https://www.econbiz.de/10010465155
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Forecasting limit order book liquidity supply-demand curves with functional AutoRegressive dynamics
Chen, Ying; Chua, Wee Song; Härdle, Wolfgang - 2016
Limit order book contains comprehensive information of liquidity on bid and ask sides. We propose a Vector Functional AutoRegressive (VFAR) model to describe the dynamics of the limit order book and demand curves and utilize the tted model to predict the joint evolution of the liquidity demand...
Persistent link: https://www.econbiz.de/10011518802
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The divergence of the high and low frequency estimation : causes and consequences
Kinlaw, William; Kritzman, Mark; Turkington, David - 2014 - This version: May 2, 2014
Financial analysts typically estimate volatilities and correlations from monthly or higher frequency returns when determining the optimal composition of a portfolio. Although it is widely acknowledged that these measures are not necessarily stationary across samples, most analysts assume...
Persistent link: https://www.econbiz.de/10010353307
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The divergence of high- and low-frequency estimation : implications for performance measurement
Kinlaw, William; Kritzman, Mark; Turkington, David - 2014 - This version: July 24, 2014
The Sharpe ratio is the most widely used metric for comparing performance across investment managers and strategies, and the information ratio is as commonly used to evaluate performance relative to a benchmark. Although it is widely recognized that non-linearities arising from the inclusion of...
Persistent link: https://www.econbiz.de/10010387204
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Dissection of Bitcoin's multiscale bubble history : from January 2012 to February 2018
Gerlach, Jan-Christian; Demos, Guilherme; Sornette, Didier - 2018
We present a detailed bubble analysis of the Bitcoin to US Dollar price dynamics from January 2012 to February 2018. We introduce a robust automatic peak detection method that classifies price time series into periods of uninterrupted market growth (drawups) and regimes of uninterrupted market...
Persistent link: https://www.econbiz.de/10011899669