Showing 1 - 10 of 505
to the cross-sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional …
Persistent link: https://www.econbiz.de/10011605012
The decision to cease working is traditionally influenced by a wide set of socio-economic and environmental variables. In this paper, we study transitions out of work for 26 EU countries over the period 2004-2009 in order to investigate the determinants of retirement based on the Eurostat Survey...
Persistent link: https://www.econbiz.de/10011605562
information over and above the EDF, especially at longer forecasting horizons. At an aggregate level the DI shows superior … forecasting power compared to the EDF, for horizons between 3 and 12 months. We illustrate the predictive power of the DI measure …
Persistent link: https://www.econbiz.de/10014374336
information over and above the EDF, especially at longer forecasting horizons. At an aggregate level the DI shows superior … forecasting power compared to the EDF, for horizons between 3 and 12 months. We illustrate the predictive power of the DI measure …
Persistent link: https://www.econbiz.de/10014238457
This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We...
Persistent link: https://www.econbiz.de/10013154957
This paper argues that forecast estimators should minimise the loss function in a statistical, rather than deterministic, way. We introduce two new elements into the classical econometric analysis: a subjective guess on the variable to be forecasted and a probability reflecting the confidence...
Persistent link: https://www.econbiz.de/10011604630
This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large …
Persistent link: https://www.econbiz.de/10011604746
This paper describes an algorithm to compute the distribution of conditional forecasts, i.e. projections of a set of variables of interest on future paths of some other variables, in dynamic systems. The algorithm is based on Kalman filtering methods and is computationally viable for large...
Persistent link: https://www.econbiz.de/10011605778
This paper describes an algorithm to compute the distribution of conditional forecasts, i.e. projections of a set of variables of interest on future paths of some other variables, in dynamic systems. The algorithm is based on Kalman filtering methods and is computationally viable for large...
Persistent link: https://www.econbiz.de/10013047977
to the cross-sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional …
Persistent link: https://www.econbiz.de/10012769281