estimator. We propose forecasting covariance matrices using a multi-scale spectral decomposition where volatilities, correlation … eigenvalues and eigenvectors evolve on different frequencies. In an extensive out-of-sample forecasting study, we show that the …

Der Beitrag diskutiert die ifo Prognose vom Dezember 2018 für das Jahr 2019 vor dem Hintergrund der am 15. Januar 2020 …

"We forecast unemployment for the 176 German labour-market districts on a monthly basis. Because of their small size … forecast precision with univariate time-series methods, we find that the spatial model does indeed perform better or at least … forecasting which do not consider regional interdependencies." (Author's abstract, IAB-Doku) ((en)) …