Showing 1 - 10 of 18
Multi-period-ahead forecasts of returns' variance are used in most areas of applied finance where long horizon measures of risk are necessary. Yet, the major focus in the variance forecasting literature has been on one-period-ahead forecasts. In this paper, we compare several approaches of...
Persistent link: https://www.econbiz.de/10011976983
The Case-Shiller is the reference repeat-sales index for the U.S. residential real estate market, yet it is released with a two-month delay. We find that incorporating recent information from 71 financial and macro predictors improves backcasts, now-casts, and short-term forecasts of the index...
Persistent link: https://www.econbiz.de/10012487889
Persistent link: https://www.econbiz.de/10011704952
Persistent link: https://www.econbiz.de/10001512524
Persistent link: https://www.econbiz.de/10001231798
Persistent link: https://www.econbiz.de/10001180426
Persistent link: https://www.econbiz.de/10013548748
We introduce a new measure called Inflation-at-Risk (I@R) associated with (left and right) tail inflation risk. We estimate I@R using survey-based density forecasts. We show that it contains information not covered by usual inflation risk indicators which focus on inflation uncertainty and do...
Persistent link: https://www.econbiz.de/10013089781
Persistent link: https://www.econbiz.de/10009790754
Persistent link: https://www.econbiz.de/10009663896