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A non-linear forecast combination procedure for binary outcomes

Lahiri, Kajal; Yang, Liu - 2015

We develop a non-linear forecast combination rule based on copulas that incorporate the dynamic interaction between … individual predictors. This approach is optimal in the sense that the resulting combined forecast produces the highest …

Persistent link: https://www.econbiz.de/10010475341

Real-time forecasting using mixed-frequency VARs with time-varying parameters

Heinrich, Markus; Reif, Magnus - 2020

This paper provides a detailed assessment of the real-time forecast accuracy of a wide range of vector autoregressive …

Persistent link: https://www.econbiz.de/10012154665

Forecasting using mixedfrequency VARs with time-varying parameters

Heinrich, Markus; Reif, Magnus - 2018 - This version: September 2, 2018

indicators sampled at different frequencies. We conduct a real-time forecast exercise to predict US key macroeconomic variables …

Persistent link: https://www.econbiz.de/10011962204

Exchange rate predictability in a changing world

Byrne, Joseph P.; Korobilis, Dimitris; Ribeiro, Pinho J. - In: Journal of international money and finance 62 (2016), pp. 1-24

Persistent link: https://www.econbiz.de/10011668284

The expectational effects of news in business cycles : evidence from forecast data

Miyamoto, Wataru; Nguyen, Thuy Lan - In: Journal of monetary economics 116 (2020), pp. 184-200

Persistent link: https://www.econbiz.de/10012495170

Predictive distributions and the market return : the role of market illiquidity

Ellington, Michael; Kalli, Maria - In: European journal of operational research : EJOR 323 (2025) 1, pp. 309-322

Persistent link: https://www.econbiz.de/10015415620

Nowcasting in real time : large Bayesian vector autoregression in a test

Juvonen, Petteri; Lindblad, Annika - 2025

We analyse the accuracy of an econometric model for nowcasting GDP growth in a true real-time setting. The analysis is based on a unique sample of nowcasts that were produced in real time and stored. Our results support the use of econometric models for nowcasting because the accuracy of these...

Persistent link: https://www.econbiz.de/10015409530

Forecasting the term structure of government bond yields in unstable environments

Byrne, Joseph P.; Cao, Shuo; Korobilis, Dimitris - In: Journal of empirical finance 44 (2017), pp. 209-225

Persistent link: https://www.econbiz.de/10011818024

Forecasting inflation in post-oil boom years : a case for regime switches?

Ahmadov, Vugar; Huseynov, Salman; Adigozalov, Shaig; … - In: Journal of economics and finance 42 (2018) 2, pp. 369-385

Persistent link: https://www.econbiz.de/10012031015

Structural scenario analysis with SVARs

Antolín-Díaz, Juan; Petrella, Ivan; Rubio-Ramírez, … - In: Journal of monetary economics 117 (2021), pp. 798-815

Persistent link: https://www.econbiz.de/10012603260