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The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options

Rombouts, Jeroen; Stentoft, Lars; Violante, Franceso - In: International Journal of Forecasting 30 (2014) 1, pp. 78-98

We assess the predictive accuracies of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set of 444 multivariate models that differ in their...

Persistent link: https://www.econbiz.de/10010730021

Forecasting with approximate dynamic factor models: The role of non-pervasive shocks

Luciani, Matteo - In: International Journal of Forecasting 30 (2014) 1, pp. 20-29

This paper studies the role of non-pervasive shocks when forecasting with factor models. To this end, we first … model for the idiosyncratic component. Then, we test the forecasting performance of this model both in simulations, and on a …

Persistent link: https://www.econbiz.de/10010730024

A strategic forecasting framework for governmental decision-making and planning

Savio, Nicolas D.; Nikolopoulos, Konstantinos - In: International Journal of Forecasting 29 (2013) 2, pp. 311-321

-intensive evaluative techniques such as Impact Assessment and Cost-Benefit Analysis. In this study, a Structured Analogies forecasting …

Persistent link: https://www.econbiz.de/10010636398

Large-change forecast accuracy: Reanalysis of M3-Competition data using receiver operating characteristic analysis

Gorr, Wilpen L.; Schneider, Matthew J. - In: International Journal of Forecasting 29 (2013) 2, pp. 274-281

forecasting large declines match the top methods for conventional forecast accuracy in the M3-Competition’s micro monthly time … methods for operations-level forecasting, for both ordinary and large-change forecasts. …

Persistent link: https://www.econbiz.de/10010636403

Multi-step-ahead estimation of time series models

McElroy, Tucker; Wildi, Marc - In: International Journal of Forecasting 29 (2013) 3, pp. 378-394

of the parameter estimates, and study the asymptotic impact of model misspecification on multi-step-ahead forecasting …. The method is illustrated through a forecasting exercise, applied to several time series. …

Persistent link: https://www.econbiz.de/10010679038

Hierarchical shrinkage priors for dynamic regressions with many predictors

Korobilis, Dimitris - In: International Journal of Forecasting 29 (2013) 1, pp. 43-59

for the period 1959–2010, I extensively evaluate the forecasting properties of Bayesian shrinkage in macroeconomic … forecasting with many predictors. The results show that, for particular data series, hierarchical shrinkage dominates factor model …

Persistent link: https://www.econbiz.de/10010603361

Does the euro area forward rate provide accurate forecasts of the short rate?

Galvao, Ana Beatriz; Costa, Sonia - In: International Journal of Forecasting 29 (2013) 1, pp. 131-141

forecasting performance. We develop a method for computing forward premium confidence intervals to identify ex-ante periods during …

Persistent link: https://www.econbiz.de/10010603366

Shrinkage estimation of semiparametric multiplicative error models

Brownlees, Christian T.; Gallo, Giampiero M. - In: International Journal of Forecasting 27 (2011) 2, pp. 365-378

components and controls the smoothness of the estimated flexible component. The results show that, from the forecasting …

Persistent link: https://www.econbiz.de/10010573801

Forecasting monetary policy rules in South Africa

Naraidoo, Ruthira; Paya, Ivan - In: International Journal of Forecasting 28 (2012) 2, pp. 446-455

that there are gains from semiparametric models in forecasting the interest rates as the forecasting horizon lengthens. …

Persistent link: https://www.econbiz.de/10010577328

Forecasting with vector autoregressive models of data vintages: US output growth and inflation

Clements, Michael P.; Galvão, Ana Beatriz - In: International Journal of Forecasting 29 (2013) 4, pp. 698-714

forecasting performance of models which include information on annual revisions is superior to that of models which only include …

Persistent link: https://www.econbiz.de/10010709412