Search Results - subject:"FORECAST EVALUATION"

Evaluating German business cycle forecasts under an asymmetric loss function

Döpke, Jörg; Fritsche, Ulrich; Siliverstovs, Boriss - In: OECD Journal: Journal of Business Cycle Measurement and … 2010 (2010) 1, pp. 1-18

Based on annual data for growth and inflation forecasts for Germany covering the 1970-2007 period and up to 17 different forecasts per year, we test for a possible asymmetry of the forecasters’ loss function and estimate the degree of asymmetry for each forecasting institution using the...

Persistent link: https://www.econbiz.de/10008740657

High-dimensional covariance forecasting for short intra-day horizons

Oomen, Roel - In: Quantitative Finance 10 (2010) 10, pp. 1173-1185

Asset return covariances at intra-day horizons are known to tend towards zero due to market microstructure effects. Thus, traders who simply scale their daily covariance forecast to match their trading horizon are likely to over-estimate the actual experienced asset dependence. In this paper,...

Persistent link: https://www.econbiz.de/10008675078

Comparing the New Keynesian Phillips Curve with time series models to forecast inflation

Rumler, Fabio; Valderrama, María Teresa - In: The North American journal of economics and finance : a … 21 (2010) 2, pp. 126-144

Persistent link: https://www.econbiz.de/10009267847

On the use of non-linear transformations in Stochastic Volatility models

Tsiotas, Georgios - In: Statistical Methods and Applications 18 (2009) 4, pp. 555-583

Persistent link: https://www.econbiz.de/10008537605

Economic and Statistical Measures of Forecast Accuracy

Granger, C.W.J.; Pesaran, M. H. - Faculty of Economics, University of Cambridge - 1999

This paper argues in favour of a closer link between decision and forecast evaluation problems. Although the idea of … using decision theory for forecast evaluation appears early in the dynamic stochastic programming literature, and has … more general setting. Relationships between statistical and economic methods of forecast evaluation are discussed and …

Persistent link: https://www.econbiz.de/10005783720

Accuracy and Properties of German Business Cycle Forecasts

Osterloh, Steffen - In: Applied Economics Quarterly (formerly: Konjunkturpolitik) 54 (2008) 1, pp. 27-57

In this paper the accuracy of a wide range of German business cycle forecasters is assessed for the period from 1995 to 2005. For this purpose, a data set is used comprising forecasts published on a monthly basis by Consensus Economics. The application of several descriptive as well as...

Persistent link: https://www.econbiz.de/10004980259

A Switching ARCH Model for the German DAX Index

Kaufmann, Sylvia; Scheicher, Martin - In: Studies in Nonlinear Dynamics & Econometrics 10 (2007) 4, pp. 1290-1290

This paper estimates a switching autoregressive conditional heteroskedastic time series model for returns on the daily German stock market index. Volatility clustering is captured by persistent periods of different volatility levels and by the dependence on past innovations. We introduce a...

Persistent link: https://www.econbiz.de/10004966234

Forecasting Stock Market Volatility with Regime-Switching GARCH Models

Marcucci, Juri - In: Studies in Nonlinear Dynamics & Econometrics 9 (2007) 4, pp. 1145-1145

In this paper we compare a set of different standard GARCH models with a group of Markov Regime-Switching GARCH (MRS-GARCH) in terms of their ability to forecast the US stock market volatility at horizons that range from one day to one month. To take into account the excessive persistence...

Persistent link: https://www.econbiz.de/10004966275

The Riksbank’s Forecasting Performance

Andersson, Michael K.; Karlsson, Gustav; Svensson, Josef - Sveriges Riksbank - 2007

This paper describes the official Riksbank forecasts for the period 2000-06. The forecast variables are those that are important for monetary policy analysis, i.e. inflation, GDP, productivity, employment, labour force, unemployment and financial variables such as interest rate and foreign...

Persistent link: https://www.econbiz.de/10005649106

The Value of a Probability Forecast from Portfolio Theory

Johnstone, D. - In: Theory and Decision 63 (2007) 2, pp. 153-203

A probability forecast scored ex post using a probability scoring rule (e.g. Brier) is analogous to a risky financial security. With only superficial adaptation, the same economic logic by which securities are valued ex ante â€“ in particular, portfolio theory and the capital asset pricing...

Persistent link: https://www.econbiz.de/10005678364