In this paper we present a mechanism to elicit and aggregate dispersed information. Our mechanism relies on the aggregation of intervals elicited using an interval scoring rule. We test our mechanism by eliciting beliefs about the termination times of a stochastic process in an experimental...

We extend the repeated observations forecasting ROF analysis of Croushore and Stark 2002 to allow for regressors of possibly higher sampling frequencies than the regressand. For the U.S. GNP quarterly growth rate, we compare the forecasting performances of an AR model with several...

We develop models for examining possible predictors of the return on gold that embrace six global factors (business cycle, nominal, interest rate, commodity, exchange rate and stock price factors) and two uncertainty indices (the Kansas City Fed’s financial stress index and the U.S. Economic...

The 2006 sudden and immense downturn in U.S. House Prices sparked the 2007 global financial crisis and revived the interest about forecasting such imminent threats for economic stability. In this paper we propose a novel hybrid forecasting methodology that combines the Ensemble Empirical Mode...

We develop models for examining possible predictors of the return on gold that embrace six global factors (business cycle, nominal, interest rate, commodity, exchange rate and stock price factors) and two uncertainty indices (the Kansas City Fed’s financial stress index and the U.S. Economic...

This study determines whether the global vector autoregressive (GVAR) approach provides better forecasts of key South African variables than a vector error correction model (VECM) and a Bayesian vector autoregressive (BVAR) model augmented with foreign variables. The paper considers both a small...

Forecasting aggregate retail sales may improve portfolio investors’ ability to predict movements in the stock prices of the retailing chains. Therefore, this paper uses 26 (23 single and 3 combination) forecasting models to forecast South Africa’s aggregate seasonal retail sales. We use data...

The research contains the estimation of Revealed Comparative Advantage indices for food exporters and structural shifts in the global composition of food trade. The finding about the income elasticity of consumption for imported food has been done on the basis of AIDS and QAIDS models. At the...

The choice and estimation of joint probability distribution function are key steps in portfolio optimization problem. As such distribution functions pair-copula constructions (PCC), or vine-copulae, on arbitrary R-vines are used. For the investor with exponential utility criterion the NYSE oil...

Our proposed local vector autoregressive (LVAR) model has time-varying parameters that allow it to be safely used in both stationary and non-stationary situations. The estimation is conducted over an interval of local homogeneity where the parameters are approximately constant. The local...