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In this paper we investigate the forecasting performance of the median Consumer Price Index (CPI) in a variety of Bayesian vector autoregressions (BVARs) that are often used for monetary policy. Until now, the use of trimmed-mean price statistics in forecasting inflation has often been relegated...
Persistent link: https://www.econbiz.de/10011561107
We provide a formulation of stochastic volatility (SV) based on Gaussian process regression (GPR). Forecasting volatility out-of-sample, both simulation and empirical analyses show that our GPR-based stochastic volatility (GPSV) model clearly outperforms SV and GARCH benchmarks, especially at...
Persistent link: https://www.econbiz.de/10014186681
We propose a new approach to mixed-frequency regressions in a high-dimensional environment that resorts to Group Lasso penalization and Bayesian techniques for estimation and inference. To improve the sparse recovery ability of the model, we also consider a Group Lasso with a spike-and-slab...
Persistent link: https://www.econbiz.de/10012890433
This chapter summarizes recent literature on asymptotic inference about forecasts. Both analytical and simulation based methods are discussed. The emphasis is on techniques applicable when the number of competing models is small. Techniques applicable when a large number of models is compared to...
Persistent link: https://www.econbiz.de/10014023703
the link between the forecast origin and the horizon of interest. Among diverse contributions, we show how the current …. We also provide a unifying framework which allows us to analyse the sources of forecast errors and hence of accuracy …
Persistent link: https://www.econbiz.de/10014057125
We evaluate predictive regressions that explicitly consider the time-variation of coefficients in a comprehensive Bayesian framework. For monthly returns of the S&P 500 index, we demonstrate statistical as well as economic evidence of out-of-sample predictability: relative to an investor using...
Persistent link: https://www.econbiz.de/10013133802
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The procedure for estimating probabilities of future investment returns using time-shifted indexes is based on the simple principle that a multi-dimensional conditional probability distribution can be envisioned involving investment total returns (for a single investment or a fixed portfolio of...
Persistent link: https://www.econbiz.de/10014198891
forecasting models are used widely for prediction, and it is important to understand when such models are stable. Now, forecast …
Persistent link: https://www.econbiz.de/10009766692