We estimate a DSGE model with Preferences Over Safe Assets (POSA) on Euro Area macroeconomic data and interest rate expectations measures. The model with POSA has much better empirical fit than the otherwise identical model without, especially once interest rate expectations are added to the...

Despite the obvious benefits and growing popularity of Machine Learning (ML) technology, there are still concerns regarding its ability to provide Financial Distress Prediction (FDP). An accurate FDP model is required to avoid financial risk at the lowest possible cost. However, in the Internet...

This paper analyzes the performance of temporal fusion transformers in forecasting realized volatilities of stocks listed in the S&P 500 in volatile periods by comparing the predictions with those of state-of-the-art machine learning methods as well as GARCH models. The models are trained on...

We propose to treat survey-based density expectations as compositional data when testing either for heterogeneity in density forecasts across different groups of agents or for changes over time. Monte Carlo simulations show that the proposed test has more power relative to both a bootstrap...

We compare the properties of betting market odds set in two distinct markets for a large sample of European soccer matches. We confirm inefficiencies in the traditional market for bets on a home win, an away win or a draw as found in previous studies such as Angelini and De Angelis (2019), in...

This paper presents a dynamic model averaging approach for forecasting nominal exchange rates, which is a novel approach in exchange rate forecasting literature. This framework encompasses most of the approaches commonly used in the forecasting literature. We focus on nine major trading currency...

As part of the Eurosystem’s annual banknote production planning, the national central banks draw up forecasts estimating the volumes of national-issued banknotes in circulation for the three years ahead. As at the end of 2021, more than 80 per cent of euro banknotes in circulation (cumulated...

Quantile forecasting has become an important research topic in econometrics as policy makers and investors are increasingly interested to focus more on downside (upside) risks rather than learning about the most likely outcome. Simultaneously, practitioners have largely used textual data to con-...