Narrow search
Showing 1 - 10 of 44,270
Cover Image
Cointegrated VARMA models and forecasting US interest rates
Kascha, Christian; Trenkler, Carsten - 2011
We bring together some recent advances in the literature on vector autoregressive moving-average models creating a relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with fixed initial values there exists a so-called final...
Persistent link: https://www.econbiz.de/10010316827
Cover Image
Cointegrated VARMA models and forecasting US interest rates
Kascha, Christian; Trenkler, Carsten - Institut für Volkswirtschaftslehre, … - 2011
We bring together some recent advances in the literature on vector autoregressive moving-average models creating a relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with fixed initial values there exists a so-called final...
Persistent link: https://www.econbiz.de/10009321755
Cover Image
Heuristic model selection for leading indicators in Russia and Germany
Savin, Ivan; Winker, Peter - 2011
Business tendency survey indicators are widely recognized as a key instrument for business cycle forecasting. Their … leading indicator property is assessed with regard to forecasting industrial production in Russia and Germany. For this … forecasting performance of the leading indicators for both countries revealing marked differences between Russia and Germany. …
Persistent link: https://www.econbiz.de/10010286389
Cover Image
Forecasting Inflation in the Netherlands and the Euro Area
Reijer, A.H.J. den; Vlaar, P.J.G. - de Nederlandsche Bank - 2003
In this study we build two forecasting models to predict inflation for the Netherlands and for the euro area. Inflation …
Persistent link: https://www.econbiz.de/10005021864
Cover Image
INFORMATION CRITERIA FOR IMPULSE RESPONSE FUNCTION MATCHING ESTIMATION OF DSGE MODELS
Hall, Alastair; Atsushi; Nason, James M; Rossi, Barbara - Duke University, Department of Economics - 2009
We propose new information criteria for impulse response function matching estimators (IRFMEs). These estimators yield sampling distributions of the structural parameters of dynamic sto- chastic general equilibrium (DSGE) models by minimizing the distance between sample and theoretical impulse...
Persistent link: https://www.econbiz.de/10008549053
Cover Image
Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?
Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010
aggregating weighted forecasts of the sub-component price indices, versus forecasting the aggregate consumer price index itself … aggregate CPI forecasts, and also offers substantial gains over forecasting using benchmark naïve models. The analysis also … contributes an improved understanding of sectoral inflationary pressures. This forecasting method should be more robust to the …
Persistent link: https://www.econbiz.de/10008553067
Cover Image
Forecasting Swiss inflation using VAR models
Lack, Caesar - Schweizerische Nationalbank (SNB) - 2006
differences in variables. Bank loans and the monetary aggregate M3 are the most important variables for inflation forecasting. The …
Persistent link: https://www.econbiz.de/10005011493
Cover Image
Forecasting inflation: An art as well as a science!
Vlaar, P.J.G.; Reijer, A.H.J. den - de Nederlandsche Bank - 2003
In this study we build two forecasting models to predict inflation for the Netherlands and for the euro area. Inflation …
Persistent link: https://www.econbiz.de/10005101948
Cover Image
A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
Atak, Alev; Kapetanios, George - In: Economics Letters 120 (2013) 2, pp. 224-228
There is a growing literature on the realized volatility (RV) forecasting of asset returns using high-frequency data …. We explore the possibility of forecasting RV with factor analysis; once considering the significant jumps. A real high …
Persistent link: https://www.econbiz.de/10010678826
Cover Image
Forecasting Swiss inflation using VAR models
Lack, Caesar - Schweizerische Nationalbank (SNB) - 2006
differences in variables. Bank loans and the monetary aggregate M3 are the most important variables for inflation forecasting. The …
Persistent link: https://www.econbiz.de/10008925070