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Parallel Sequential Monte Carlo for Efficient Density Combination : The Deco Matlab Toolbox

Casarin, Roberto - 2015

This paper presents the Matlab package DeCo (Density Combination) which is based on the paper by Billio et al. (2013) where a constructive Bayesian approach is presented for combining predictive densities originating from different models or other sources of information. The combination weights...

Persistent link: https://www.econbiz.de/10013035739

Nowcasting in a Pandemic Using Non-Parametric Mixed Frequency VARs

Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, … - 2021

This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of extreme observations, for instance those produced...

Persistent link: https://www.econbiz.de/10013243790

Forecasting World Trade : Direct versus 'Bottom-Up' Approaches

Dees, Stephane - 2013

In a globalised world economy, global factors have become increasingly important to explain trade flows at the expense of country-specific determinants. This paper shows empirically the superiority of direct forecasting methods, in which world trade is directly forecasted at the aggregate...

Persistent link: https://www.econbiz.de/10012753643

Real-time datasets really do make a difference : definitional change, data release, and forecasting

Fernández, Andrés; Swanson, Norman R. - 2011 - Rev.

square forecast error (MSFE) "best" predictions. On the other hand, models estimated and implemented using "latest available …

Persistent link: https://www.econbiz.de/10009130680

Tracking economic activity with alternative high-frequency data

Eckert, Florian; Kronenberg, Philipp; Mikosch, Heiner; … - 2020

Most macroeconomic indicators failed to capture the sharp economic fluctuations during the Corona crisis in a timely manner. Instead, alternative high-frequency data have been used, aiming to monitor the economic situation. However, these data are often only loosely related to the business cycle...

Persistent link: https://www.econbiz.de/10012395297

Nowcasting in a pandemic using non-parametric mixed frequency VARs

Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, … - 2021

Persistent link: https://www.econbiz.de/10012405305

Nowcasting in a pandemic using non-parametric mixed frequency VARs

Huber, Florian; Koop, Gary; Onorante, Luca; Pfarrhofer, … - 2021

Persistent link: https://www.econbiz.de/10012501159

Macroeconomics, nonlinearities, and the business cycle

Reif, Magnus - 2019

Im Zentrum dieser Dissertation steht das Beschreiben und Erklären von Konjunkturdynamiken. Motiviert durch den außerordentlich starken wirtschaftlichen Einbruch in 2008/2009 betont die Arbeit dabei die Wichtigkeit der Nutzung von nichtlinearen Modellansätzen. Die Dissertation kann als Beitrag...

Persistent link: https://www.econbiz.de/10012154125

The evolution of forecast density combinations in economics

Aastveit, Knut Are; Mitchell, James; Ravazzolo, Francesco; … - 2018

probability density function for future values of the variables of interest. At the same time combinations of forecast densities …-data sets. Given this increased relevance of forecast density combinations, the genesis and evolution of this approach, both … history and evolution of forecast density combination methods, together with their potential and benefits, are illustrated in …

Persistent link: https://www.econbiz.de/10011895935

Predicting the Stock Market Index Using Stochastic Time Series Arima Modelling : The Sample of BSE and NSE

C, Viswanatha Reedy - 2019

, 2017 (187 observed values). The results obtained from the study confirmed the prospective of ARIMA model to forecast the …

Persistent link: https://www.econbiz.de/10012863169