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Substitution between cars within the household

De Borger, Bruno L.; Mulalic, Ismir; Rouwendal, Jan - 2013

each car owned by the household -- own and cross-price effects of increases in fuel costs per kilometre. The empirical … results show that failure to capture substitution between cars within the household can result in substantial misspecification … the position of the most fuel efficient car in the household, suggesting that households" fuel efficiency choices are …

Persistent link: https://www.econbiz.de/10010224824

The COVID-19 consumption game-changer : evidence from a large-scale multi-country survey

Hodbod, Alexander; Hommes, Cars H.; Huber, Stefanie J.; … - 2021 - Version: 2021-10-17

Prospective economic developments depend on the behavior of consumer spending. A key question is whether private expenditures recover once social distancing restrictions are lifted or whether the COVID-19 crisis has a sustained impact on consumer confidence, preferences, and, hence, spending....

Persistent link: https://www.econbiz.de/10012665880

Forecasting day-ahead electricity prices : utilizing hourly prices

Raviv, Eran; Bouwman, Kees E.; Dijk, Dick van - 2013

Persistent link: https://www.econbiz.de/10009765836

Backtesting value-at-risk using forecasts for multiple horizons, a comment on the forecast rationality tests of A. J. Patton A. Timmermann

Hoogerheide, Lennart F.; Ravazzolo, Francesco; Dijk, … - 2011

Persistent link: https://www.econbiz.de/10009720750

Forecasting value-at-risk under temporal and portfolio aggregation

Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015

conditional volatilities and correlations, the distribution for the innovations and the method of forecast construction. We find … smaller. The differences from the model, distribution and forecast choices are also smaller compared to temporal aggregation. …

Persistent link: https://www.econbiz.de/10011431503

What do professional forecasters actually predict?

Nibbering, Didier; Paap, Richard; Wel, Michel van der - 2015

In this paper we study what professional forecasters actually explain. We use spectral analysis and state space modeling to decompose economic time series into a trend, a business-cycle, and an irregular component. To examine which components are captured by professional forecasters we regress...

Persistent link: https://www.econbiz.de/10011305773

Does disagreement amongst forecasters have predictive value?

Legerstee, Rianne; Franses, Philip Hans - 2010

compared on forecast accuracy. We find that disagreement has predictive power indeed and that this variable can be used to …

Persistent link: https://www.econbiz.de/10011381819

Forecasting with Bayesian vector autoregressions with time variation in the mean

Bańbura, Marta; Vlodrop, Andries van - 2018

area, the United States and Japan. In particular, incorporating survey forecast information helps to reduce the uncertainty …

Persistent link: https://www.econbiz.de/10011809970

Bayesian risk forecasting for long horizons

Borowska, Agnieszka; Hoogerheide, Lennart; Koopman, Siem Jan - 2019

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and Expected Shortfall, for a given volatility model. We obtain precise forecasts of the tail of the distribution of returns not only for the 10-days-ahead horizon required by the...

Persistent link: https://www.econbiz.de/10011979983

Forecasting economic time series using score-driven dynamic models with mixeddata sampling

Gorgi, Paolo; Koopman, Siem Jan; Li, Mengheng - 2018

model in an empirical study on the forecasting of U.S. headline inflation. In particular, we forecast monthly inflation …

Persistent link: https://www.econbiz.de/10011809978