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Combination of forecast methods using encompassing tests : an algorithm-based procedure

Costantini, Mauro; Pappalardo, Carmine - 2008

This paper proposes a strategy to increase the efficiency of forecast combining methods. Given the availability of a wide range of forecasting models for the same variable of interest, our goal is to apply combining methods to a restricted set of models. To this aim, an algorithm procedure based...

Persistent link: https://www.econbiz.de/10009735352

Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging

Jumah, Adusei; Kunst, Robert M. - 2008

Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a …

Persistent link: https://www.econbiz.de/10009735355

The effect of data revision on the basic New Keynesian model

Vázquez, Jesús; María-Dolores, Ramón; Londoño, Juan M. - In: International review of economics & finance : IREF 24 (2012), pp. 235-249

Persistent link: https://www.econbiz.de/10009690181

Linear predictability vs. bull and bear market models in strategic asset allocation decisions : evidence from UK data

Guidolin, Massimo; Hyde, Stuart - 2012

Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against the bull and bear dynamics typical of financial markets...

Persistent link: https://www.econbiz.de/10009658243

Prognose makroökonomischer Zeitreihen : ein Vergleich linearer Modelle mit neuronalen Netzen

Koller, Wolfgang - 2012

Persistent link: https://www.econbiz.de/10009666650

Evaluating time-series restrictions for cross-sections of expected returns : multifactor CCAPMs

Kim, Jinyong - In: Pacific-Basin finance journal 20 (2012) 5, pp. 688-706

Persistent link: https://www.econbiz.de/10009619797

The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility

Clark, Todd E.; Ravazzolo, Francesco - 2012

Persistent link: https://www.econbiz.de/10009627354

The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility

Clark, Todd E.; Ravazzolo, Francesco - 2012

Persistent link: https://www.econbiz.de/10009628606

"Déjà vol" : predictive regressions for aggregate stock market volatility using macroeconomic variables

Paye, Bradley S. - In: Journal of financial economics 106 (2012) 3, pp. 527-546

Persistent link: https://www.econbiz.de/10009710165

Is more still better? : revisiting the sixth district coincident indicator

Silos, Pedro; Vilán, Diego - 2009

version of the D6 Factor that improves upon the original model in several ways. While the original D6 based its estimation on … estimation period by a decade. These changes provide the updated model with substantially more information while reducing the … noise in the estimation. -- coincident index ; dynamic factor model …

Persistent link: https://www.econbiz.de/10009419466