Showing 41 - 50 of 23,475
Econometric modeling of the exchange rate saw successive progresses, the forecasts based on the ‘70s models having a …-month-ahead forecasts for July and August 2011 based on these models I found that the best predictions are those based on the model that is … compatible with the sense of Granger causality. The higher errors are those of the forecasts based on the AR(1) model. The …
Persistent link: https://www.econbiz.de/10010901897
adjusted forecasts, for horizons from 1 to 24 months. We explain the bias using macroeconomic as well as sector and firm … explanatory variables. From the forecast evaluation statistics viewpoints, the adjusted forecasts make it possible quasi …-systematically to improve the forecasts of the analysts. …
Persistent link: https://www.econbiz.de/10010905325
The purpose of this paper is to show that an affine model which incorporates the condition of no arbitrage enables improvements in forecasting the term structure of interest rates in Mexico. The three factors of the yield curve (level, slope and curvature) used in the model are estimated by the...
Persistent link: https://www.econbiz.de/10010907568
explicitly in literature as a source of forecasts uncertainty. In this study based on data on U.S. GDP and its components in 1995 …-2010, we found that GDP one-step-ahead forecasts made by aggregating the components with variable weights, modeled using ARMA … procedure, have a higher accuracy than those with constant weights or the direct forecasts. Excepting the GDP forecasts obtained …
Persistent link: https://www.econbiz.de/10010934754
The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets, including the question of whether financial market...
Persistent link: https://www.econbiz.de/10010958584
values and the forecasts provided by the European Commission, the National Commission for Prognosis and Dobrescu’s model over … predictions of these models and naive forecasts brought a statistically significant improvement for projections made by Romanian …
Persistent link: https://www.econbiz.de/10010959958
The main objective of this study is to make a comparative analysis of inflation convergence in Central-Eastern European countries (CEE countries) during the economic crisis over 2008-2013. For Bulgaria, Czech Republic, Hungary, Poland, Romania and Slovakia the inflation convergence has decreased...
Persistent link: https://www.econbiz.de/10010929269
Economic forecasts are an essential building block for a budgetary anticipation in order to determine the budgetary … analyzed during the recent economic crisis and the IMF forecasts for this indicator outperformed those provided by Dobrescu …
Persistent link: https://www.econbiz.de/10011272137
This paper develops analytical methods to forecast the distribution of future returns for a new continuous-time process, the Poisson multi-fractal. The process captures the thick tails, volatility persistence and moment scaling exhibited by many financial time series. It can be interpreted as a...
Persistent link: https://www.econbiz.de/10005245609
We suggest that the real exchange rate between the major currencies in the post-Bretton Woods period can be described by a stationary, two state Markov switching AR(1) model. Based on the forecast performance, both in-sample and out-of-sample, we find that this model out-performs two competing...
Persistent link: https://www.econbiz.de/10005206993