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Short-term Forecasting of the COVID-19 Pandemic using Google Trends Data : Evidence from 158 Countries

Fantazzini, Dean - 2020

The ability of Google Trends data to forecast the number of new daily cases and deaths of COVID-19 is examined using a …, Granger causality tests, and an out-of-sample forecasting exercise with 18 competing models with a forecast horizon of 14 days …

Persistent link: https://www.econbiz.de/10012826063

The Role of Shipping in Forecasting Economic Development

Körner, Finn Marten - 2010

This study proposes a link between economic development and the shipping markets which can be exploited for forecasting. Market participants anticipate the future and take actions accordingly. The resulting effects are absorbed in structural autoregressive distributed lag models and in factor...

Persistent link: https://www.econbiz.de/10013139237

A creepy world

Sornette, Didier; Cauwels, Peter - 2013

history where a small event had a cataclysmic consequence, we propose a novel view of the current state of the world via the …

Persistent link: https://www.econbiz.de/10010257508

Predicting the Global Minimum Variance Portfolio

Reh, Laura - 2020

We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP …

Persistent link: https://www.econbiz.de/10012847269

Predicting the global minimum variance portfolio

Reh, Laura; Krüger, Fabian; Liesenfeld, Roman - 2020

We propose a novel dynamic approach to forecast the weights of the global minimum variance portfolio (GMVP). The GMVP …

Persistent link: https://www.econbiz.de/10012243462

Crypto Coins and Credit Risk : Modelling and Forecasting their Probability of Death

Fantazzini, Dean - 2022

This paper examined a set of over two thousand crypto-coins observed between 2015 and 2020 to estimate their credit risk by computing their probability of death. We employed different definitions of dead coins, ranging from academic literature to professional practice, alternative forecasting...

Persistent link: https://www.econbiz.de/10013404509

Sources of deterioration in forecast accuracy during the global financial crisis

Tsuchiya, Yoichi - 2021

This study assesses World Bank (WB) forecasts for growth in real gross domestic product (GDP) and its subcomponents … deterioration in the WB’s forecast accuracy of real GDP growth during the Great Recession in the aftermath of the financial crisis … private consumption plays a major role in explaining forecast error and upward bias of real GDP growth, while public …

Persistent link: https://www.econbiz.de/10013237854

Forecasting without Persistence

Boucher, Christophe - 2012

The forecasting literature has identified three important and broad issues: the predictive content of explanatory variable is most of the times unstable over time, in-sample and out-of-sample results are often discordant and precise statistical inference with highly persistent predictors is...

Persistent link: https://www.econbiz.de/10013105313

The Anatomy of Out-of-Sample Forecasting Accuracy

Borup, Daniel; Goulet Coulombe, Philippe; Rapach, David E. - 2022

We develop metrics based on Shapley values for interpreting time-series forecasting models, including “black-box” models from machine learning. Our metrics are model agnostic, so that they are applicable to any model (linear or nonlinear, parametric or nonparametric). Two of the metrics,...

Persistent link: https://www.econbiz.de/10014238433

Forecasting of India VIX As Measure of Sentiment

Banerjee, Arindam - 2020

The India VIX represents the sentiment of traders in the Indian market, so by forecasting the future value of India VIX, we get a feel for investor sentiment in future. The objective of this study is to fit a forecasting model on India VIX using auto regressive integrated moving average (ARIMA)....

Persistent link: https://www.econbiz.de/10012844975