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Inference in Vector Autoregressive Models with an Informative Prior on the Steady State

Villani, Mattias - Sveriges Riksbank - 2005

Vector autoregressions have steadily gained in popularity since their introduction in econometrics 25 years ago. A drawback of the otherwise fairly well developed methodology is the inability to incorporate prior beliefs regarding the system's steady state in a satisfactory way. Such prior...

Persistent link: https://www.econbiz.de/10005649059

Numerical Aspects of Bayesian VAR-modeling

Kadiyala, K. Rao; Karlsson, Sune - Economics Institute for Research (SIR), … - 1994

In Bayesian analysis of VAR-models, and especially in forecasting applications, the Minnesota prior of Litterman is … report on the forecasting performance of the different prior distributions considered in the paper. …

Persistent link: https://www.econbiz.de/10005649366

Forecasting Interest Rates in India

Dua, Pami; Raje, Nishita; Sahoo, Satyananda - In: Margin: The Journal of Applied Economic Research 2 (2008) 1, pp. 1-41

forecasting performance of Bayesian VAR models is satisfactory for most interest rates and their superiority in performance is …

Persistent link: https://www.econbiz.de/10011136571

Forecast combination for euro area inflation: a cure in times of crisis?

Hubrich, Kirstin; Skudelny, Frauke - 2016

provide more robust forecasts. We investigate this issue for forecasts from a range of short-term forecasting models. Our …

Persistent link: https://www.econbiz.de/10011606017

ALICE: A new inflation monitoring tool

de Bondt, Gabe J.; Hahn, Elke; Zekaite, Zivile - 2018

the beginning of 2018. They also have performed well in forecasting the direction of inflation. In terms of the …

Persistent link: https://www.econbiz.de/10011916879

Modelling asymmetric dependence using copula functions: An application to value-at-risk in the energy sector

Bastianin, Andrea - 2009

that asymmetries show up in their unconditional distribution, as well as in their unconditional copula. The VaR forecasting …

Persistent link: https://www.econbiz.de/10010279490

Employing Machine Learning Algorithms to build Trading Strategies with higher than Risk-Free Returns

Uzunlu, Baris Yalin; Hussain, Syed Muzammil - In: International Econometric Review (IER) 12 (2020) 2, pp. 112-138

This research aims at exploring whether simple trading strategies developed using state-ofthe-art Machine Learning (ML) algorithms can guarantee more than the risk-free rate of return or not. For this purpose, the direction of S&P 500 Index returns on every 6th day (SPYRETDIR6) and magnitude of...

Persistent link: https://www.econbiz.de/10012610982

Um modelo para projeção de arrecadação tributária dos entes subnacionais

De Mendonça, Mário Jorge Cardoso; Do Nascimento, Igor … - 2022

The forecasting of government revenues is extremely important for an adequate budget execution, since a good accuracy …

Persistent link: https://www.econbiz.de/10013400244

Forecasting Spanish unemployment with Google Trends and dimension reduction techniques

Mulero, Rodrigo; Garcia-Hiernaux, Alfredo - In: SERIEs - Journal of the Spanish Economic Association 12 (2021) 3, pp. 329-349

variables or which ones to use. The results of a recursive forecasting exercise reveal a statistically significant increase in …

Persistent link: https://www.econbiz.de/10014496096

Model Specification and Inflation Forecast Uncertainty

Bårdsen, Gunnar; Jansen, Eilev S.; Nymoen, Ragnar - 2001

Competition models. Their relative merits in explaining and forecasting inflation are investigated theoretically and empirically … successful inflation forecasting. …

Persistent link: https://www.econbiz.de/10012143568