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Forecasting low-frequency macroeconomic events with high-frequency data

Galvão, Ana Beatriz C.; Owyang, Michael T. - In: Journal of applied econometrics 37 (2022) 7, pp. 1314-1333

Persistent link: https://www.econbiz.de/10013473971

Inefficient forecasts at the sportsbook : an analysis of real-time betting line movement

Simon, Jay - In: Management science : journal of the Institute for … 70 (2024) 12, pp. 8583-8611

Persistent link: https://www.econbiz.de/10015145594

Deep probabilistic Koopman : long-term time-series forecasting under periodic uncertainties

Mallen, Alex T.; Lange, Henning; Kutz, J. Nathan - In: International journal of forecasting 40 (2024) 3, pp. 859-868

Persistent link: https://www.econbiz.de/10014547213

Portfolio selection under non-gaussianity and systemic risk : a machine learning based forecasting approach

Lin, Weidong; Taamouti, Abderrahim - In: International journal of forecasting 40 (2024) 3, pp. 1179-1188

Persistent link: https://www.econbiz.de/10014547268

A Markov chain model for forecasting results of mixed martial arts contests

Holmes, Benjamin; McHale, Ian; Żychaluk, Kamila - In: International journal of forecasting 39 (2023) 2, pp. 623-640

Persistent link: https://www.econbiz.de/10014465075

Forecasting low frequency macroeconomic events with high frequency data

Galvão, Ana Beatriz C.; Owyang, Michael T. - 2020

High-frequency financial and economic activity indicators are usually time aggregated before forecasts of low-frequency macroeconomic events, such as recessions, are computed. We propose a mixed-frequency modelling alternative that delivers high-frequency probability forecasts (including their...

Persistent link: https://www.econbiz.de/10012308083

Probability distribution forecasting of carbon allowance prices : a hybrid model considering multiple influencing factors

Lei, Heng; Xue, Minggao; Liu, Huiling - In: Energy economics 113 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013540610

Risk premia in electricity derivatives markets

Algieri, Bernardina; Leccadito, Arturo; Tunaru, Diana - In: Energy economics 100 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012990257

Conformal prediction interval estimation and applications to day-ahead and intraday power markets

Kath, Christopher; Ziel, Florian - In: International journal of forecasting 37 (2021) 2, pp. 777-799

Persistent link: https://www.econbiz.de/10012792869

Bayesian VAR forecasts, survey information, and structural change in the euro area

Ganics, Gergely; Odendahl, Florens - In: International journal of forecasting 37 (2021) 2, pp. 971-999

Persistent link: https://www.econbiz.de/10012794772

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