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Prediction, risk assessment and comparison of selected emerging markets' stock indices during covid-19 pandemic using the coherent measure : comparing selected emerging markets' st...

Das, Prabir Kumar; Das, Anarghya - In: The journal of prediction markets 16 (2022) 3, pp. 81-97

Persistent link: https://www.econbiz.de/10014290506

Monitoring value-at-risk and expected shortfall forecasts

Hoga, Yannick; Demetrescu, Matei - In: Management science : journal of the Institute for … 69 (2023) 5, pp. 2954-2971

Persistent link: https://www.econbiz.de/10014305469

Measuring Inflation Expectations : How the Response Scale Shapes Density Forecasts

Becker, Christoph K.; Duersch, Peter; Eife, Thomas - 2023

In density forecasts, respondents are asked to assign probabilities to pre-specified ranges of inflation. We show in two large-scale experiments that responses vary when we modify the response scale. Asking an identical question with modified response scales induces different answers: Shifting,...

Persistent link: https://www.econbiz.de/10014263441

Markov risk mappings and risk-sensitive optimal prediction

Kosmala, Tomasz; Martyr, Randall; Moriarty, John - In: Mathematical methods of operations research : ZOR 97 (2023) 1, pp. 91-116

Persistent link: https://www.econbiz.de/10014227386

A Survey of Alternative Measures of Macroeconomic Uncertainty : Which Measures Forecast Real Variables and Explain Fluctuations in Asset Volatilities Better?

Veronesi, Pietro; David, Alexander - 2022

In the past 20 years, measures of economic uncertainty have been developed that are purely market price based; structural model based, using data on real fundamentals and asset prices; text based; or survey based. We compare the performance of these uncertainty measures in forecasting three real...

Persistent link: https://www.econbiz.de/10014242500

The Reliability of Output Gap Estimates in Real Time

Orphanides, Athanasios; van Norden, Simon - 1999

reliability of the measurement of the output gap has attracted relatively little academic study. Furthermore, both the academic … concentrate on measurement that employs data that only become available later. In this paper we examine the reliability of … induced errors due to incorrect measurement is at its greatest. We investigate the reasons for these ex post revisions, and …

Persistent link: https://www.econbiz.de/10014188614

Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?

Marcellino, Massimiliano Giuseppe; Banerjee, Anindya; … - 2014

In this paper we evaluate the relative merits of three approaches to information extraction from a large data set for forecasting, namely, the use of an automated model selection procedure, the adoption of a factor model, and single-indicator-based forecast pooling. The comparison is conducted...

Persistent link: https://www.econbiz.de/10014086494

Leading Indicators for Euro-Area Inflation and GDP Growth

Marcellino, Massimiliano Giuseppe; Banerjee, Anindya; … - 2014

In this paper we evaluate the role of a set of variables as leading indicators for Euro-area inflation and GDP growth. Our evaluation is based on using the variables in the ECB Euro-area model database, plus a set of similar variables for the US. We compare the forecasting performance of each...

Persistent link: https://www.econbiz.de/10014086495

A Forecast Evaluation of Expected Equity Return Measures

Chin, Michael - 2015

Recent studies find evidence in favour of return predictability, and argue that their positive findings result from their ability to capture expected returns. We assess the forecasting performance of two popular approaches to estimating expected equity returns, a dividend discount model (DDM)...

Persistent link: https://www.econbiz.de/10013030200

Robust estimation of conditional risk measures using machine learning algorithm for commodity futures prices in the presence of outliers

Byers, John W.; Popova, I.; Simkins, Betty J. - In: Journal of commodity markets 24 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10013392402