Narrow search
Showing 41 - 50 of 389,441
Cover Image
Adaptive order flow forecasting with multiplicative error models
Härdle, Wolfgang; Mihoci, Andrija; Ting, Christopher … - 2014
A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...
Persistent link: https://www.econbiz.de/10010374563
Cover Image
Forecasting Realized Volatility of Russian Stocks using Google Trends and Implied Volatility
Bazhenov, Timofey - 2019
This work proposes to forecast the Realized Volatility (RV) and the Value-at-Risk (VaR) of the most liquid Russian …
Persistent link: https://www.econbiz.de/10012888932
Cover Image
Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting
Knotek, Edward S. - 2017
Financial data often contain information that is helpful for macroeconomic forecasting, while multistep forecast … that the average of the available daily data and a daily random walk forecast to fill in the missing days in the quarter … the inclusion of financial variable nowcasts by themselves generally improves forecast accuracy for macroeconomic …
Persistent link: https://www.econbiz.de/10012960536
Cover Image
Forecasting Macroeconomic Variables Using Data Dimension Reduction Methods : The Case of Korea
Kim, Hyun Hak - 2017
shrinkage methods, following Stock and Watson (2012) and Kim and Swanson (2013a), to forecast CPI inflation, GDP growth, exports … clearer as the forecast horizons lengthens. Specifically, in forecasting for more volatile periods like the global financial …
Persistent link: https://www.econbiz.de/10012973666
Cover Image
Forecasting Macroeconomic Variables Using Data Dimension Reduction Methods : The Case of Korea
Kim, Hyun Hak - 2015
shrinkage methods, following Stock and Watson (2012) and Kim and Swanson (2013a), to forecast CPI inflation, GDP growth, exports … clearer as the forecast horizons lengthens. Specifically, in forecasting for more volatile periods like the global financial …
Persistent link: https://www.econbiz.de/10013026042
Cover Image
Nowcasting and Forecasting GDP in Emerging Markets Using Global Financial and Macroeconomic Diffusion Indexes
Cepni, Oguzhan - 2018
In this paper, we contribute to the nascent literature on nowcasting and forecasting GDP in emerging market economies using big data methods. This is done by analyzing the usefulness of various dimension reduction, machine learning and shrinkage methods including sparse principal component...
Persistent link: https://www.econbiz.de/10012915427
Cover Image
Dynamic prediction pools : an investigation of financial frictions and forecasting performance
Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014
Persistent link: https://www.econbiz.de/10010418097
Cover Image
Dynamic prediction pools : an investigation of financial frictions and forecasting performance
Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014
Persistent link: https://www.econbiz.de/10010430597
Cover Image
Forecasting the Great Trade Collapse
Yilmazkuday, Hakan - 2016
This paper introduces a simple methodology to forecast international trade. The main innovation is to calculate non … the current change in expenditure to forecast the current imports. Using U.S. data on aggregate expenditure and good …
Persistent link: https://www.econbiz.de/10013006843
Cover Image
Dynamic Prediction Pools : An Investigation of Financial Frictions and Forecasting Performance
Del Negro, Marco - 2014
environment, leading to real-time forecast improvements relative to other methods of density forecast combination, such as …
Persistent link: https://www.econbiz.de/10013045643