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We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10011383033
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10013130370
, thus, making them appropriate for models of large dimensions. A comprehensive forecasting exercise involving TVP-VARs of …
Persistent link: https://www.econbiz.de/10013059299
can lead to different conclusions on the forecasting performance of the MS-GJR model …
Persistent link: https://www.econbiz.de/10013156202
Accurate prediction of risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) requires precise estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part of the predictive density: the censored posterior, a...
Persistent link: https://www.econbiz.de/10013064150
characteristic of volatility dynamics, making it a suitable choice for volatility forecasting. However, its complex structure … the RPDV model a competitive tool for volatility forecasting.To achieve this objective, the article proposes an innovative …
Persistent link: https://www.econbiz.de/10014354222
their simpler counterparts in both forecasting and capturing other audience measurement criteria. Finally, using machine …
Persistent link: https://www.econbiz.de/10009356633
Persistent link: https://www.econbiz.de/10009756308
variables in the model, rather than just on future paths as it is usually done in the conditional forecasting literature. The … forecasting densities of a BVAR and a DSGE model on information about the marginal densities of future oil prices. The results …-inflation over the considered forecasting horizon. Finally, a real-time forecasting exercise yields that introducing market …
Persistent link: https://www.econbiz.de/10013463266
We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH … nearly all series. Finally, we carry out a forecasting exercise to evaluate the usefulness of structural break models. …
Persistent link: https://www.econbiz.de/10011116269