Search Results - subject:"FORECAST EVALUATION"

Testable implications of forecast optimality

Patton, Andrew J.; Timmermann, Allan - London School of Economics (LSE) - 2005

Evaluation of forecast optimality in economics and finance has almost exclusively been conducted on the assumption of mean squared error loss under which forecasts should be unbiased and forecast errors serially uncorrelated at the single period horizon with increasing variance as the forecast...

Persistent link: https://www.econbiz.de/10010744999

Konjunkturprognosen – Verfahren, Erfolgskontrolle und Prognosefehler

Groemling, Michael - Volkswirtschaftliches Seminar, … - 2005

The economic forecasts for Germany in the period 2001 to 2003 grossly missed reality. Forecasters estimated an average annual growth rate of 1.6 per cent, but real GDP actually grew by only 0.3 per cent per annum. In 2003 the real GDP in Germany even shrank by 0.1 per cent. Forecasters tend to...

Persistent link: https://www.econbiz.de/10005593795

Bias in Federal Reserve Inflation Forecasts: Is the Federal Reserve Irrational or Just Cautious?

Capistrán-Carmona, Carlos - Society for Computational Economics - SCE - 2005

This paper documents that inflation forecasts of the Federal Reserve systematically under-predicted inflation before Volker's appointment as Chairman and systematically over-predicted it afterward. It also documents that, under quadratic loss, commercial forecasts have information not contained...

Persistent link: https://www.econbiz.de/10005343046

Testable Implications of Forecast Optimality

Patton, Andrew J.; Timmermann, Allan - Suntory and Toyota International Centres for Economics … - 2005

-identifying restrictions. Keywords: forecast evaluation; loss function; rationality tests. JEL No.: C53, C22, C52 … forecast evaluation under objectives other than MSE see West et al. (1993) and Pesaran and Skouras (2001). 1 unknown, whereas … the direct application of the results in this paper to, e.g., volatility forecast evaluation. In such a scenario the …

Persistent link: https://www.econbiz.de/10005151153

Evaluating the usefulness of forecasts of relative growth

Allan, Grant - Economics Department, University of Strathclyde - 2012

€™ fiscal policy stances, but are not tested for their accuracy as part of the current range of forecast evaluation methods …

Persistent link: https://www.econbiz.de/10011134463

Optimal Combination of Survey Forecasts

Conflitti, Cristina; De Mol, Christine; Giannone, Domenico - C.E.P.R. Discussion Papers - 2012

We consider the problem of optimally combining individual forecasts of gross domestic product (GDP) and inflation from the Survey of Professional Forecasters (SPF) dataset for the Euro Area. Contrary to the common practice of using equal combination weights, we compute optimal weights which...

Persistent link: https://www.econbiz.de/10011083557

Understanding forecast failure of ESTAR models of real exchange rates

Buncic, Daniel - In: Empirical Economics 43 (2012) 1, pp. 399-426

Persistent link: https://www.econbiz.de/10010845913

A Bayesian method of combining judgmental and model-based density forecasts

Kocięcki, Andrzej; Kolasa, Marcin; Rubaszek, Michał - In: Economic Modelling 29 (2012) 4, pp. 1349-1355

This paper introduces a formal method of combining expert and model density forecasts when the sample of past forecasts is unavailable. It works directly with the expert forecast density and endogenously delivers weights for forecast combination, relying on probability rules only. The empirical...

Persistent link: https://www.econbiz.de/10011048689

‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables

Paye, Bradley S. - In: Journal of Financial Economics 106 (2012) 3, pp. 527-546

Aggregate stock return volatility is both persistent and countercyclical. This paper tests whether it is possible to improve volatility forecasts at monthly and quarterly horizons by conditioning on additional macroeconomic variables. I find that several variables related to macroeconomic...

Persistent link: https://www.econbiz.de/10011039250

Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts

Benavides, Guillermo; Capistrán, Carlos - In: Journal of Empirical Finance 19 (2012) 5, pp. 627-639

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, unconditional combinations, and hybrid forecasts. Superior forecasting performance is...

Persistent link: https://www.econbiz.de/10011042107