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Predicting exchange rate volatility: genetic programming versus GARCH and RiskMetrics

Neely, Christopher J.; Weller, Paul A. - In: Review (2002) May, pp. 43-54

exchange market. Forecasting performance is evaluated relative to GARCH(1,1) and RiskMetrics‘ models for two currencies, the …

Persistent link: https://www.econbiz.de/10005726139

Is the strong dollar sustainable?

Krugman, Paul R. - In: Proceedings - Economic Policy Symposium - Jackson Hole (1985), pp. 103-155

Persistent link: https://www.econbiz.de/10005726216

Outlook for the agricultural sector

Singer, Mike A. - In: Agricultural Letter (1996) Mar

Persistent link: https://www.econbiz.de/10005726505

How stable is the predictive power of the yield curve? evidence from Germany and the United States

Estrella, Arturo; Rodrigues, Anthony P.; Schich, Sebastian - Federal Reserve Bank of New York - 2000

Empirical research over the last decade has uncovered predictive relationships between the slope of the yield curve and subsequent real activity and inflation. Some of these relationships are highly significant, but their theoretical motivations suggest that they may not be stable over time. We...

Persistent link: https://www.econbiz.de/10005726595

Rational bias in macroeconomic forecasts

Laster, David; Bennett, Paul; Geoum, In Sun - Federal Reserve Bank of New York - 1997

This paper develops a model of macroeconomic forecasting in which the wages firms pay their forecasters are a function …

Persistent link: https://www.econbiz.de/10005726599

Modeling uncertainty: predictive accuracy as a proxy for predictive confidence

Rich, Robert; Tracy, Joseph - Federal Reserve Bank of New York - 2003

This paper evaluates current strategies for the empirical modeling of forecast behavior. In particular, we focus on the reliability of using proxies from time series models of heteroskedasticity to describe changes in predictive confidence. We address this issue by examining the relationship...

Persistent link: https://www.econbiz.de/10005726629

Housing demand and community choice: an empirical analysis

Rapaport, Carol - Federal Reserve Bank of New York - 1996

Housing demand reflects the household's simultaneous choice of neighborhood, whether to own or rent the dwelling, and the quantity of housing services demanded. Existing literature emphasizes the final two factors, but overlooks the choice of community. This paper develops an econometric model...

Persistent link: https://www.econbiz.de/10005726654

Forecasting in large macroeconomic panels using Bayesian Model Averaging

Koop, Gary; Potter, Simon - Federal Reserve Bank of New York - 2003

This paper considers the problem of forecasting in large macroeconomic panels using Bayesian model averaging. Practical … apply these methods to the problem of forecasting GDP and inflation using quarterly U.S. data on 162 time series. Our … analysis indicates that models containing factors do outperform autoregressive models in forecasting both GDP and inflation …

Persistent link: https://www.econbiz.de/10005726664

Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty and Risk

Gürkaynak, Refet S.; Wolfers, Justin - C.E.P.R. Discussion Papers - 2006

September 2002, a new market in 'Economic Derivatives' was launched allowing traders to take positions on future values of several macroeconomic data releases. We provide an initial analysis of the prices of these options. We find that market-based measures of expectations are similar to...

Persistent link: https://www.econbiz.de/10005656457

The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting

Forni, Mario; Hallin, Marc; Lippi, Marco; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2002

This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is …

Persistent link: https://www.econbiz.de/10005661541