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Forecasts in Times of Crises
Eicher, Theo S. - 2018
Financial crises pose unique challenges for forecast accuracy. Using the IMF's Monitoring of Fund Arrangement (MONA … informational value as they consistently outperform naive forecast approaches. However, we also document that there is room for … improvement: two thirds of the key macroeconomic variables that we examine are forecast inefficiently and 6 variables (growth of …
Persistent link: https://www.econbiz.de/10012907940
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Dynamic prediction pools : an investigation of financial frictions and forecasting performance
Del Negro, Marco; Hasegawa, Raiden B.; Schorfheide, Frank - 2014
react in a timely fashion to changes in the environment, leading to real-time forecast improvements relative to other … methods of density forecast combination, such as Bayesian model averaging, optimal (static) pools, and equal weights. We show …
Persistent link: https://www.econbiz.de/10010414783
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Dynamic Prediction Pools : An Investigation of Financial Frictions and Forecasting Performance
Del Negro, Marco - 2014
react in a timely fashion to changes in the environment, leading to real-time forecast improvements relative to other … methods of density forecast combination, such as Bayesian model averaging, optimal (static) pools, and equal weights. We show …
Persistent link: https://www.econbiz.de/10013044329
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Dynamic Prediction Pools : An Investigation of Financial Frictions and Forecasting Performance
Del Negro, Marco - 2014
environment, leading to real-time forecast improvements relative to other methods of density forecast combination, such as …
Persistent link: https://www.econbiz.de/10013046125
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Exploiting Spillovers to Forecast Crashes
Gresnigt, Francine - 2015
-excitation for these series. Out-of-sample, we find that the models that include spillover effects forecast crashes and the Value …
Persistent link: https://www.econbiz.de/10013013240
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A creepy world
Sornette, Didier; Cauwels, Peter - 2013
history where a small event had a cataclysmic consequence, we propose a novel view of the current state of the world via the …
Persistent link: https://www.econbiz.de/10010257508
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Crypto Coins and Credit Risk : Modelling and Forecasting their Probability of Death
Fantazzini, Dean - 2022
This paper examined a set of over two thousand crypto-coins observed between 2015 and 2020 to estimate their credit risk by computing their probability of death. We employed different definitions of dead coins, ranging from academic literature to professional practice, alternative forecasting...
Persistent link: https://www.econbiz.de/10013404509
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Forecasting without Persistence
Boucher, Christophe - 2012
The forecasting literature has identified three important and broad issues: the predictive content of explanatory variable is most of the times unstable over time, in-sample and out-of-sample results are often discordant and precise statistical inference with highly persistent predictors is...
Persistent link: https://www.econbiz.de/10013105313
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The Anatomy of Out-of-Sample Forecasting Accuracy
Borup, Daniel; Goulet Coulombe, Philippe; Rapach, David E. - 2022
We develop metrics based on Shapley values for interpreting time-series forecasting models, including “black-box” models from machine learning. Our metrics are model agnostic, so that they are applicable to any model (linear or nonlinear, parametric or nonparametric). Two of the metrics,...
Persistent link: https://www.econbiz.de/10014238433
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Forecasting Lithium Prices
Villena, Mauricio; Quinteros, Maria; Hardy, Nicolas - 2023
The main aim of this paper is to forecast both in-sample and out-of-sample lithium prices. Specifically, we explore the …
Persistent link: https://www.econbiz.de/10014256538