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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
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
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
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
computationally simple and can be easily implemented as a nowcasting tool. Finally, this method also allows retracing the driving …
Persistent link: https://www.econbiz.de/10010314774
Stock and bond are the two most crucial assets for portfolio allocation and risk management. This study proposes generalized autoregressive score mixed frequency data sampling (GAS MIDAS) copula models to analyze the dynamic dependence between stock returns and bond returns. A GAS MIDAS copula...
Persistent link: https://www.econbiz.de/10012668024
forecasting macroeconomic key variables such as GDP. However, the DFM has some weaknesses. For nowcasting, the dynamic factor …
Persistent link: https://www.econbiz.de/10011567405
sogenannten "Nowcasting"-Modellen, deren Prognosegüte mit jedem neu verfügbaren, das deutsche Bruttoinlandsprodukt beeinflussenden …-up-Modellierung Nowcasting-Prognosen für das deutsche Bruttoinlandsprodukt ermöglicht. Hierbei bringt es mit der verwendeten Kombination von … Modellen einen neuen Ansatz in die aktuelle Literatur des Nowcasting für das deutsche Bruttoinlandsprodukt ein. Durch die …
Persistent link: https://www.econbiz.de/10011643852
We tackle the nowcasting problem at the regional level using a large set of indicators (regional, national and …
Persistent link: https://www.econbiz.de/10010531825
We analyze the performance of a broad range of nowcasting and short-term forecasting models for a representative set of … indicators that come from a comparable set of identical data. We show that nowcasting works well for the new EU countries because … nowcasting is on average somewhat larger. …
Persistent link: https://www.econbiz.de/10012389263