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Obregon, Carlos - 2022

that generate unacceptable levels of inflation. …

Persistent link: https://www.econbiz.de/10015214329

Guzman, Giselle C. - 2010

For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey … models of forecasting inflation, the data are low frequency measures which appear anachronistic in the modern era of high … frequency and real-time data. I present a collection of 37 different measures of inflation expectations, including many …

Persistent link: https://www.econbiz.de/10015230546

The Mean Squared Prediction Error Paradox

Pincheira, Pablo; Hardy, Nicolas - 2021

In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the...

Persistent link: https://www.econbiz.de/10015241474

Volatility Depends on Market Trades and Macro Theory

Olkhov, Victor - 2024

We consider the randomness of market trade as the origin of price and return stochasticity. We look at time series of trade values and volumes as random variables during the averaging interval Δ and describe the dependences of market-based volatilities of price and return on the volatilities...

Persistent link: https://www.econbiz.de/10015213603

Volatility Depend on Market Trades and Macro Theory

Olkhov, Victor - 2020

This paper presents probability distributions for price and returns random processes for averaging time interval Δ. These probabilities determine properties of price and returns volatility. We define statistical moments for price and returns random processes as functions of the costs and the...

Persistent link: https://www.econbiz.de/10015216164

Volatility Depend on Market Trades and Macro Theory

Olkhov, Victor - 2020

We show that the price and returns volatilities depend on the first and the second degree of the total values and the total volumes of the transactions aggregated during averaging time interval Δ. We derive expressions that describe price volatility via volatilities of the value and the volume...

Persistent link: https://www.econbiz.de/10015220606

The case for higher frequency inflation expectations

Guzman, Giselle C. - 2011

I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of … inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused … on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the …

Persistent link: https://www.econbiz.de/10015230637

Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile

Pincheira, Pablo; Neumann, Federico - 2018

We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...

Persistent link: https://www.econbiz.de/10015262273

Economic Transactions Govern Business Cycles

Olkhov, Victor - 2018

This paper presents the business cycle model without using assumptions of general equilibrium. All economic agents are at risk but not for all agents risk assessments are performed. We propose that risk assessment can be completed for all agents and suggest use agents risk ratings as their...

Persistent link: https://www.econbiz.de/10015260583

Economic Transactions Govern Business Cycles

Olkhov, Victor - 2018

This paper presents the business cycle model based on treatment of economic agents as simple units of macroeconomics. Agents (banks, corporations, households, etc.) have numerous economic and financial variables like Assets, Credits, Debts, Consumption, etc. Agents perform economic and financial...

Persistent link: https://www.econbiz.de/10015261350