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Beginning in 1998, U.S. commercial banks may determine their regulatory capital requirements for financial market risk exposure using value-at-risk (VaR) models i.e., models of the time-varying distributions of portfolio returns. Currently, regulators have available three hypothesis-testing...
Persistent link: https://www.econbiz.de/10005526313
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In a factor-augmented regression, the forecast of a variable depends on a few factors estimated from a large number of predictors. But how does one determine the appropriate number of factors relevant for such a regression? Existing work has focused on criteria that can consistently estimate the...
Persistent link: https://www.econbiz.de/10005420506
different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic …). The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should … common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using static and …
Persistent link: https://www.econbiz.de/10005423181
The goal of the article lies in forecasting tendencies of the current demand of the local labour market on the basis of … macro-economic indicators, the article builds equations of multiple regression, use of which would allow forecasting the … current demand in the local labour market in the middle-term perspective. The prospect of further studies is forecasting the …
Persistent link: https://www.econbiz.de/10010747437
Persistent link: https://www.econbiz.de/10010676539
-of-sample performance of univariate and multivariate forecasting models by aggregating state level forecasts versus forecasting the … aggregate directly. We find evidence that forecasting the disaggregate series and accounting for spatial effects drastically … improves forecasting performance under Root Mean Squared Forecast Error Loss. Based on the in-sample observations we attempt to …
Persistent link: https://www.econbiz.de/10010676625
rate, our results suggest that the PwC panel has some forecasting ability for time horizons from 3 to 9, improving when it …
Persistent link: https://www.econbiz.de/10010778734
analyzing commodity markets and prices and to solving price forecasting problems, concentrating on more recent advances in …
Persistent link: https://www.econbiz.de/10010781372
We discuss the development and implementation of , a sales forecasting model, by pack size, category, channel, region …
Persistent link: https://www.econbiz.de/10008787812