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New forecasting methods for an old problem : predicting 147 years of systemic financial crises

Plessis, Emile du; Fritsche, Ulrich - 2022

forecasting solutions. In this context, the paper develops new forecasting methods for an old problem by employing 13 machine …

Persistent link: https://www.econbiz.de/10013362692

Anticipating business-cycle turning points in real time using density forecasts from a VAR

Schreiber, Sven - 2014

For the timely detection of business-cycle turning points we suggest to use mediumsized linear systems (subset VARs with automated zero restrictions) to forecast the relevant underlying variables, and to derive the probability of the turning point from the forecast density as the probability...

Persistent link: https://www.econbiz.de/10010330366

Forecasting German key macroeconomic variables using large dataset methods

Pirschel, Inske; Wolters, Maik H. - 2014

We study the forecasting performance of three alternative large scale approaches using a dataset for Germany that … indicate that in many cases the gains in forecasting accuracy relative to a simple univariate autoregression are only moderate …

Persistent link: https://www.econbiz.de/10010368138

Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle

Carstensen, Kai; Heinrich, Markus; Reif, Magnus; … - 2017

probabilities with a simple GDP forecasting model yields an accurate nowcast for the steepest decline in GDP in 2009Q1 and a correct …

Persistent link: https://www.econbiz.de/10011657178

Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model

Carstensen, Kai; Heinrich, Markus; Reif, Magnus; … - 2019

probabilities with a simple GDP forecasting model yields an accurate nowcast for the steepest decline in GDP in 2009Q1 and a correct …

Persistent link: https://www.econbiz.de/10012109751

Model pooling and changes in the informational content of predictors: An empirical investigation for the euro area

Schwarzmüller, Tim - 2015

pooling techniques, including Mallows model averaging and Cross-Validation model averaging, for short-term forecasting euro …

Persistent link: https://www.econbiz.de/10010471511

Forecasting German key macroeconomic variables using large dataset methods

Pirschel, Inske; Wolters, Maik H. - 2014

We study the forecasting performance of three alternative large scale approaches using a dataset for Germany that … indicate that in many cases the gains in forecasting accuracy relative to a simple univariate autoregression are only moderate …

Persistent link: https://www.econbiz.de/10010357899

Anticipating business-cycle turning points in real time using density forecasts from a VAR

Schreiber, Sven - 2014 - This version: January 2014

For the timely detection of business-cycle turning points we suggest to use mediumsized linear systems (subset VARs with automated zero restrictions) to forecast the relevant underlying variables, and to derive the probability of the turning point from the forecast density as the probability...

Persistent link: https://www.econbiz.de/10010233998

Model pooling and changes in the informational content of predictors : an empirical investigation for the euro area

Schwarzmüller, Tim - 2015

pooling techniques, including Mallows model averaging and Cross-Validation model averaging, for short-term forecasting euro …

Persistent link: https://www.econbiz.de/10010472548

Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model : an application to the German business cycle

Carstensen, Kai; Heinrich, Markus; Reif, Magnus; … - 2017

probabilities with a simple GDP forecasting model yields an accurate nowcast for the steepest decline in GDP in 2009Q1 and a correct …

Persistent link: https://www.econbiz.de/10011646914

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