Showing 1 - 10 of 36
In this paper, we produce short term forecasts for the inflation in Turkey, using a large number of econometric models. In particular, we employ univariate models, decomposition based approaches (both in frequency and time domain), a Phillips curve motivated time varying parameter model, a suite...
Persistent link: https://www.econbiz.de/10011048867
Volatility forecasting is an important issue in empirical finance. In this paper, the main purpose is to apply the model averaging techniques to reduce volatility model uncertainty and improve volatility forecasting. Six GARCH-type models are considered as candidate models for model averaging....
Persistent link: https://www.econbiz.de/10010719420
The increasing interest aroused by more advanced forecasting techniques, together with the requirement for more accurate forecasts of tourism demand at the destination level due to the constant growth of world tourism, has lead us to evaluate the forecasting performance of neural modelling...
Persistent link: https://www.econbiz.de/10010729816
The paper develops a Small Open Economy New Keynesian DSGE-VAR (SOENKDSGE-VAR) model of the South African economy, characterised by incomplete pass-through of exchange rate changes, external habit formation, partial indexation of domestic prices and wages to past inflation, and staggered price...
Persistent link: https://www.econbiz.de/10010737983
This paper aims to suggest the best forecasting model for the semiconductor market. A wide range of alternative modern econometric modeling approaches have been implemented, and a large variety of criteria and tests have been employed to assess the out-of-sample forecasting accuracy at various...
Persistent link: https://www.econbiz.de/10010781973
This paper considers the process optimal strategies for an enhanced index tracking problem. The investment goals are set to achieve a higher return than the benchmark by setting the portfolio's risk profile identical to the primary index risk factors. Return differences between the index and the...
Persistent link: https://www.econbiz.de/10010781995
In this paper we develop an open economy model explaining the joint determination of output, inflation, interest rates, unemployment and the exchange rate in a multi-country framework. Our model—the Halle Economic Projection Model (HEPM)—is closely related to studies published by Carabenciov...
Persistent link: https://www.econbiz.de/10011048681
This paper introduces a formal method of combining expert and model density forecasts when the sample of past forecasts is unavailable. It works directly with the expert forecast density and endogenously delivers weights for forecast combination, relying on probability rules only. The empirical...
Persistent link: https://www.econbiz.de/10011048689
In response to growing concerns about global warming and climate change, numerous energy scenario or computable general equilibrium models have been developed worldwide to provide alerts, mitigation, adaptation, financial and sustainability policy options. However, rigorous evidence-based...
Persistent link: https://www.econbiz.de/10011048704
Understanding the impact of exchange rate movements on prices is critical from a policy perspective in order to gauge the appropriate monetary policy response to currency movements. This study assesses the extent to which the movements in exchange rate affect domestic consumer prices in Pakistan...
Persistent link: https://www.econbiz.de/10011048708