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Sparse warcasting
Constantinescu, Mihnea - 2023
Persistent link: https://www.econbiz.de/10014316914
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Sparse warcasting
Constantinescu, Mihnea - 2023
expected nonlinear effect of military action challenge the use of established nowcasting and shortterm forecasting …
Persistent link: https://www.econbiz.de/10014476136
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Targeted transformations for macroeconomic forecasting
Daniele, Maurizio; Kronenberg, Philipp; Reinicke, Tim - 2024
The crisis periods of the past decades have highlighted the difficulty of forecasting economic indicators due to increased non-linearity and rapidly changing dynamics. To address this challenge, we introduce the Transform-Sparsify-Forecast (TSF) framework. The TSF framework first applies...
Persistent link: https://www.econbiz.de/10014545317
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Improving Forecast Accuracy of Financial Vulnerability : Partial Least Squares Factor Model Approach
Kim, Hyeongwoo - 2017
We present a factor augmented forecasting model for assessing the financial vulnerability in Korea. Dynamic factor models often extract latent common factors from a large panel of time series data via the method of the principal components (PC). Instead, we employ the partial least squares (PLS)...
Persistent link: https://www.econbiz.de/10012957157
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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
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A high-frequency GDP indicator for Switzerland
Kronenberg, Philipp - 2024
This paper presents a weekly GDP indicator for Switzerland, which addresses the limitations of existing economic activity indicators using alternative high-frequency data created in the wake of the COVID-19 pandemic. The indicator is obtained from a Bayesian mixed-frequency dynamic factor model...
Persistent link: https://www.econbiz.de/10014562886
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Using survey information for improving the density nowcasting of US GDP with a focus on predictive performance during Covid-19 pandemic
Çakmaklı, Cem; Demircan, Hamza - 2020
We provide a methodology that efficiently combines the statistical models of nowcasting with the survey information for … improving the (density) nowcasting of US real GDP. Specifically, we use the conventional dynamic factor model together with a … over the baseline model for nowcasting GDP. While the mean survey predictions deliver valuable information during extreme …
Persistent link: https://www.econbiz.de/10012295853
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Jubilee Tectonic Model : Forecasting Long-Term Growth and Mean Reversion in the U.S. Stock Market
Lihn, Stephen H.T. - 2018
We propose a long-term forecast model based on linear growth and mean reversion characteristics in the U.S. stock market. It can forecast future returns of the stock market, Treasury yield, and gold price. The “jubilee” name comes from its optimal trend-following window of 45 years. The...
Persistent link: https://www.econbiz.de/10012922700
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Forecasting U.S. Economic Growth in Downturns Using Cross-Country Data
Lyu, Yifei - 2020
To examine whether including economic data on other countries could improve the forecast of U.S. GDP growth, we construct a large data set of 77 countries representing over 90 percent of global GDP. Our benchmark model is a dynamic factor model using U.S. data only, which we extend to include...
Persistent link: https://www.econbiz.de/10012823435
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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/10012546043