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Testing directional forecast value in the presence of serial correlation

Blaskowitz, Oliver J.; Herwartz, Helmut - 2008

Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....

Persistent link: https://www.econbiz.de/10010271838

On economic evaluation of directional forecasts

Blaskowitz, Oliver J.; Herwartz, Helmut - 2009

directional forecasts can provide a useful framework to assess the economic forecast value when loss functions (or success … directional forecast value is a readily available alternative to the commonly used squared error loss criterion. …

Persistent link: https://www.econbiz.de/10010271901

Forecast Evaluation of Explanatory Models of Financial Return Variability

Sucarrat, Genaro - 2008

discrete time models against high frequency estimates based on continuous time theory. In explanatory financial return … the forecast evaluation of explanatory discrete time models of financial return variability are studied. Second, with …

Persistent link: https://www.econbiz.de/10010295275

Forecast Evaluation of Explanatory Models of Financial Variability

Sucarrat, Genaro - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-8, pp. 1-33

continuous time theory. In explanatory financial variability modelling this raises several methodological and practical issues … properties of operational and practical procedures for the forecast evaluation of explanatory discrete time models of financial …

Persistent link: https://www.econbiz.de/10010332964

Global financial crisis and the puzzling exchange rate path in CEE countries

Crespo Cuaresma, Jesús; Geršl, Adam; Slačík, Tomáš - 2010

In the present paper we examine whether financial markets could have helped predict exchange rates in three selected Central and Eastern European (CEE) economies of the EU, namely the Czech Republic, Hungary and Poland, during the current financial crisis. To this end, we derive risk-neutral...

Persistent link: https://www.econbiz.de/10010322178

Early estimates of euro area real GDP growth: a bottom up approach from the production side

Hahn, Elke; Skudelny, Frauke - 2008

is, GDP is forecast via the forecasts of value added across the different branches of activity, which is quite new in the … the forecast cycle. Moreover, by applying a very systematic procedure the best performing equations are selected from a … period of several months. We explore whether over this forecast cycle, where GDP is repeatedly forecast, the same set of …

Persistent link: https://www.econbiz.de/10011605021

Combination of multivariate volatility forecasts

Amendola, Alessandra; Storti, Giuseppe - 2009

This paper proposes a novel approach to the combination of conditional covariance matrix forecasts based on the use of the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with large dimensional systems by means of a two-step strategy. The finite...

Persistent link: https://www.econbiz.de/10010263760

A real time evaluation of employment forecasts in Switzerland

Graff, Michael; Mannino, Massimo; Siegenthaler, Michael - 2012

We evaluate nowcasts and one- to four-quarter-ahead forecasts of Swiss full time equivalent jobs from 1998-2011, comparing forecasts of the KOF Swiss Economic Institute and of the State Secretariat for Economic Affairs with the outcome of the reference series. Both forecasts are biased downward,...

Persistent link: https://www.econbiz.de/10010319710

Forecast Models for Private Consumption

Peussa, Aleksandr - 2014

The share of private consumption in gross domestic product is significant; therefore, private consumption has a great influence on economic growth, which makes it a major concept in economics. The purpose of the paper is to estimate and evaluate different forecasting models for private...

Persistent link: https://www.econbiz.de/10012037654

Forecasting Exchange Rates: An Investor Perspective

Melvin, Michael; Prins, John; Shand, Duncan - 2013

rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates …

Persistent link: https://www.econbiz.de/10010312861