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Forecasting Random Walks under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10012714199

State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data

Chun, Dohyun; Kim, Donggyu - 2021

volatility. We call it the state heterogeneous GARCH-Ito (SG-Ito) model. We suggest a quasi-likelihood estimation procedure with …

Persistent link: https://www.econbiz.de/10013237877

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

Persistent link: https://www.econbiz.de/10012756639

Forecasts with Single-Equation Markov-Switching Model : An Application to the Gross Domestic Product of Latvia

Buss, Ginters - 2010

The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single-equation Markov-switching (MS) models for two cases: when leading information is available and when it is not. The results show that single-equation MS models tend to perform...

Persistent link: https://www.econbiz.de/10013147524

Seasonal adjustment of the Spanish sales daily data

Cuevas, Ángel; Ledo, Ramiro; Quilis, Enrique M. - In: SERIEs : Journal of the Spanish Economic Association 12 (2021) 4, pp. 687-708

We present a procedure to perform seasonal adjustment over daily sales data. The model adjusts daily information from the Immediate Supply of Information System for Value Added Tax declaration forms compiled by the Spanish Tax Agency. The procedure performs signal extraction and forecasting at...

Persistent link: https://www.econbiz.de/10012694357

Evaluating Real-Time Forecasts in Real-Time

Ravazzolo, Francesco - 2010

The accuracy of real-time forecasts of macroeconomic variables that are subject to revisions may crucially depend on the choice of data used to compare the forecasts against. We put forward a flexible time - varying parameter regression framework to obtain early estimates of the final value of...

Persistent link: https://www.econbiz.de/10012717174

Variable selection and forecasting in high dimensional linear regressions with structural breaks

Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...

Persistent link: https://www.econbiz.de/10012258549

From zero to hero: realized partial (co)variances

Bollerslev, Tim; Medeiros, Marcelo C.; Patton, Andrew J.; … - 2021

This paper proposes a generalization of the class of realized semivariance and semicovariance measures introduced by Barndorff-Nielsen, Kinnebrock and Shephard (2010) and Bollerslev, Li, Patton and Quaedvlieg (2020a) to allow for a finer decomposition of realized (co)variances. The new "realized...

Persistent link: https://www.econbiz.de/10012249756

Are daily financial data useful for forecasting GDP? : evidence from Mexico

Gomez-Zamudio, Luis M.; Ibarra-Ramírez, Raúl - 2017

This article evaluates the use of financial data sampled at high frequencies to improve short-term forecasts of quarterly GDP for Mexico. In particular, the mixed data sampling (MIDAS) regression model is employed to incorporate both quarterly and daily frequencies while remaining parsimonious....

Persistent link: https://www.econbiz.de/10011729120

Nowcasting GDP in Argentina : comparing the predictive ability of different models

Blanco, Emilio; D'Amato, Laura; Dogliolo, Fiorella; … - 2017

Having a correct assessment of current business cycle conditions is one of the major challenges for monetary policy conduct. Given that GDP figures are available with a significant delay central banks are increasingly using Nowcasting as a useful tool for having an immediate perception of...

Persistent link: https://www.econbiz.de/10011771629