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Performance of Periodic Time Series Models in Forecasting

Herwartz, Helmut - 1999

seasonal data. Consumption and income series from (West-) Germany, United Kingdom, Japan and Sweden are investigated. The …

Persistent link: https://www.econbiz.de/10014193101

Time series properties of the German monthly production index

Flaig, Gebhard - 2003

The production index is an important indicator for assessing the cyclical state of the economy. Unfortunately, the monthly time series is contaminated by many noisy components like seasonal variations, calendar and vacation effects. Only part of those nuisance components are explicitly...

Persistent link: https://www.econbiz.de/10011514105

Predicting Ordinary and Severe Recessions with a Three-State Markov-Switching Dynamic Factor Model. An Application to the German Business Cycle

Carstensen, Kai - 2017

for Germany preselected from a broader set using the Elastic Net soft-thresholding rule. The three states represent …

Persistent link: https://www.econbiz.de/10012955198

Economic indicators for automobile claim frequencies

Boj, Eva; Castañer, Anna; Claramunt, Maria Mercè; … - In: Estudios de economía 46 (2019) 2, pp. 245-271

This article examines the relationship between observed claim frequencies in the automobile insurance line and the evolution of selected economic magnitudes. From a variety of economic variables, we aim to identify the main factors affec - ting claim frequencies, while controlling for other...

Persistent link: https://www.econbiz.de/10012268143

Persistence and seasonality in the US industrial production index

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2023

This paper uses a seasonal long-memory model to capture the behaviour of the US Industrial Production Index (IPI) over the period 1919Q1-2022Q4. This series is found to display a large value of the periodogram at the zero, long-run frequency, and to exhibit an order of integration around 1. When...

Persistent link: https://www.econbiz.de/10014427486

Forecast errors and the macroeconomy : a non-linear relationship?

Fritsche, Ulrich; Döpke, Jörg - 2006 - This version: February 2006

institutions in Germany and argue that violations of the rationality hypothesis are due to relatively few large forecast errors …

Persistent link: https://www.econbiz.de/10010426366

Monthly recession predictions in real time : a density forecast approach for German industrial production

Rietzler, Katja; Stephan, Sabine - 2012

prognostiziert werden kann. Dieses Verfahren ist zweistufig: Zunächst werden die Wachstumsraten der Industrieproduktion mittels … Dichtefunktion der kumulativen Wachstumsraten der Industrieproduktion abgeleitet. Der Fokus der Analyse liegt auf der Echtzeit …-Problematik, d.h. dem Umstand, dass sowohl die Referenzzeitreihe (Industrieproduktion) als auch wichtige Indikatorzeitreihen nicht …

Persistent link: https://www.econbiz.de/10009616512

A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting

Bianchi, Carluccio; Carta, Alessandro; Fantazzini, Dean; … - 2009

World economies, and especially European ones, have become strongly interconnected in the last decades and a joint modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a rich dependence structure and more flexible marginal...

Persistent link: https://www.econbiz.de/10010343909

Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios : A General Dynamic Factor Model Approach

Hallin, Marc; Trucíos, Carlos - 2021

strategies. Unfortunately, due to the curse of dimensionality, their accurate estimation and forecast in large portfolios is …

Persistent link: https://www.econbiz.de/10013242339

Questioning the News About Economic Growth : Sparse Forecasting Using Thousands of News-Based Sentiment Values

Ardia, David - 2019

Modern calculation of textual sentiment involves a myriad of choices for the actual calibration. We introduce a general sentiment engineering framework that optimizes the design for forecasting purposes. It includes the use of the elastic net for sparse data-driven selection and weighting of...

Persistent link: https://www.econbiz.de/10012901817