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Forecasts with single-equation Markov-switching model: an application to the gross domestic product of Latvia

Bušs, Ginters - Volkswirtschaftliche Fakultät, … - 2010

The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single …

Persistent link: https://www.econbiz.de/10008541474

Do Jumps Matter? Forecasting Multivariate Realized Volatility allowing for Common Jumps

Liao, Yin; Anderson, Heather M.; Vahid, Farshid - Department of Econometrics and Business Statistics, … - 2010

Realized volatility of stock returns is often decomposed into two distinct components that are attributed to continuous price variation and jumps. This paper proposes a tobit multivariate factor model for the jumps coupled with a standard multivariate factor model for the continuous sample path...

Persistent link: https://www.econbiz.de/10008467332

Forecasting key macroeconomic variables from a large number of predictors: A state space approach

Raknerud, Arvid; Skjerpen, Terje; Swensen, Anders Rygh - Statistisk Sentralbyrå, Government of Norway - 2007

variables by aggregation. To investigate the potential gain in using such a large information set, we compare the forecasting …

Persistent link: https://www.econbiz.de/10004980602

APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES

Guida, Tony; Matringe, Olivier - EconWPA - 2005

This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare … different possible sources of forecasting improvement, using various statistical distributions and models. We have chosen to …

Persistent link: https://www.econbiz.de/10005134650

Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn

Bušs, Ginters - Volkswirtschaftliche Fakultät, … - 2009

Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag (ADL) model is chosen. The results show that a...

Persistent link: https://www.econbiz.de/10005103392

Reconnecting the Markov Switching Model with Economic Fundamentals

Erlandsson, Ulf - Nationalekonomiska Institutionen, Ekonomihögskolan - 2004

investigation of U.S. real GDP, the penalized model works better in terms of forecasting future recessions as defined by the NBER …

Persistent link: https://www.econbiz.de/10005645199

Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US

Cardani, Roberta; Paccagnini, Alessia; Villa, Stefania - Dipartimento di Economia, Metodi Quantitativi e … - 2015

This paper examines the forecasting performance of DSGE models with and without banking intermediation for the US … forecasting horizon/period. To interpret this finding it is crucial to take into account parameters instabilities showed by a … forecasting performance of output and inflation in the recent period. …

Persistent link: https://www.econbiz.de/10011165203

Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max - Tinbergen Instituut - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10011256800

A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting

Bianchi, Carluccio; Carta, Alessandro; Fantazzini, Dean; … - 2009

World economies, and especially European ones, have become strongly interconnected in the last decades and a joint modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a rich dependence structure and more flexible marginal...

Persistent link: https://www.econbiz.de/10010343909

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