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Gravity Approach for Modeling Trade Flows between Estonia and the Main Trading Partners

Paas, Tiiu - 2003

The advantages of using gravity approach for modeling transition processes in foreign trade are the ability of gravity models to explain international trade pattern under the conditions of comparatively little amount of data and validity of theoretical background of the model to the economies in...

Persistent link: https://www.econbiz.de/10014078867

Forecasting world trade: direct versus “bottom-up” approaches

Burgert, Matthias; Dées, Stéphane - 2008

from an aggregation of country-specific forecasts. Factor models in particular prove rather accurate, where the factors …

Persistent link: https://www.econbiz.de/10011604928

Assessing the Accuracy of Exponentially Weighted Moving Average Models for Value-at-Risk and Expected Shortfall of Crypto Portfolios

Alexander, Carol; Dakos, Michael - 2022

provide extensive backtests of hourly and daily Value-at-Risk (VaR) and Expected Shortfall (ES) forecasts that are regarded as … model's variance and covariance forecasts using average scores generated from proper univariate and multivariate scoring … rules, there is no evidence of superior performance of variance and covariance forecasts generated by GARCH models, using …

Persistent link: https://www.econbiz.de/10013292091

A Predictive System for International Trade Growth

Chon, Sora - 2017

The objective of this paper is to suggest a new predictive system for international trade, based on an unobserved component model. We employ the predictive system developed by Pastor and Stambaugh (2009), which is unlike other conventional predictive regression models. This paper derives an...

Persistent link: https://www.econbiz.de/10012968343

Nowcasting aggregate services trade

Jaax, Alexander - 2021

The increasing importance of services trade in the global economy contrasts with the lack of timely data to monitor recent developments. The nowcasting models developed in this paper are aimed at providing insights into current changes in total services trade, as recorded in monthly statistics...

Persistent link: https://www.econbiz.de/10012661017

Measuring & Managing Financial Risks with Improved Alternatives Beyond Value-at-Risk (VaR)

Malhotra, Yogesh - 2015

[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...

Persistent link: https://www.econbiz.de/10013024329

Another Piece of the Puzzle : Adding Swift Data on Documentary Collections to the Short-Term Forecast of World Trade

Ghazaryan, Narek; Goumilevski, Alexei; Mongardini, Joannes - 2022

This paper extends earlier research by adding SWIFT data on documentary collections to the short-term forecast of international trade. While SWIFT documentary collections accounted for just over one percent of world trade financing in 2020, they have strong explanatory power to forecast world...

Persistent link: https://www.econbiz.de/10013306710

Forecasting value-at-risk under temporal and portfolio aggregation

Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015

We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a … horizon of ten trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts … that the degree of temporal aggregation is most important. Daily returns form the best basis for VaR forecasts. Modelling …

Persistent link: https://www.econbiz.de/10011431503

Exchange rate uncertainty and trade growth : a comparison of linear and nonlinear (forecasting) models

Herwartz, Helmut (contributor); Weber, Henning (contributor) - 2007

A huge body of empirical and theoretical literature has emerged on the relationship between foreign exchange (FX) uncertainty and international trade. Empirical findings about the impact of FX uncertainty on trade figures are at best weak and often ambiguous with respect to its direction. Almost...

Persistent link: https://www.econbiz.de/10003634011

Forecasting World Trade : Direct versus 'Bottom-Up' Approaches

Dées, Stéphane - 2013

results from an aggregation of country-specific forecasts. Factor models in particular prove rather accurate, where the …

Persistent link: https://www.econbiz.de/10012753643