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A structural approach to combining external and DSGE model forecasts
Drautzburg, Thorsten - In: Economics letters 235 (2024), pp. 1-6
Persistent link: https://www.econbiz.de/10015071340
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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 bid-ask spreads using long memory autoregressive conditional poisson models
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2011
We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown that the LMACP nicely captures salient features of...
Persistent link: https://www.econbiz.de/10010281578
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Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2012
modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM …
Persistent link: https://www.econbiz.de/10010330969
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Multivariate volatility modeling of electricity futures
Bauwens, Luc; Hafner, Christian M.; Pierret, Diane - 2011
new model achieves higher forecasting performance compared to a standard DCC model. …
Persistent link: https://www.econbiz.de/10010330971
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Adaptive order flow forecasting with multiplicative error models
Härdle, Wolfgang Karl; Mihoci, Andrija; Ting, … - 2014
A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...
Persistent link: https://www.econbiz.de/10010427064
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An adaptive approach to forecasting three key macroeconomic variables for transitional China
Niu, Linlin; Xu, Xiu; Chen, Ying - 2015
We propose the use of a local autoregressive (LAR) model for adaptive estimation and forecasting of three of China …
Persistent link: https://www.econbiz.de/10011335472
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Statistical modelling and forecasting of wheat and meslin export from Ukraine using the singular spectral analysis
Chala, Tetyana; Korepanov, Oleksiy; Lazebnyk, Iuliia; … - In: Statistics in transition : an international journal of … 24 (2023) 1, pp. 169-197
volumes and the total export by regions of the country. The modelling and forecasting of the volumes and prices of export of …
Persistent link: https://www.econbiz.de/10015051736
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The prediction of new Covid-19 cases in Poland with machine learning models
Chwila, Adam - In: Statistics in transition : an international journal of … 24 (2023) 2, pp. 59-83
the world. In this paper, we propose several possible machine learning approaches to forecasting new confirmed COVID-19 …
Persistent link: https://www.econbiz.de/10015052101
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An explainable AI-enabled granular ensemble machine learning framework to demystify fertilizer price movements
Jana, Rabin K.; Ghosh, Indranil; Kumar, P. N. Ram - In: Journal of the Operational Research Society 75 (2024) 8, pp. 1569-1586
Persistent link: https://www.econbiz.de/10015052581