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Using Sentiment Surveys to Predict GDP Growth and Stock Returns

Guzman, Giselle - 2012

, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to …

Persistent link: https://www.econbiz.de/10013110732

Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting

Manera, Matteo; Longo, Chiara; Markandya, Anil; Scarpa, … - 2007

different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic …). The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should … common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using static and …

Persistent link: https://www.econbiz.de/10010312337

Forecasting the volatility of energy transition metals

Bastianin, Andrea; Li, Xiao; Shamsudin, Luqman - 2025

their forecasting performance. Our findings reveal significant heterogeneity in ETM volatility patterns, which challenge …

Persistent link: https://www.econbiz.de/10015190309

Forecasting Total Energy’s CO2 Emissions

Iania, Leonardo; Algieri, Bernardina; Leccadito, Arturo - 2022

monitored by national and supranational entities. This study evaluates the performance of a broad set of forecasting models and …

Persistent link: https://www.econbiz.de/10014083572

Forecasting Base Metal Prices with an International Stock Index

Pincheira, Pablo; Hardy, Nicolas; Henriquez, Cristóbal; … - 2021

In this paper we show that the MSCI ACWI Metals and Mining Index has the ability to predict base metal prices. We use both in-sample and out-of-sample exercises to conduct such examination. The theoretical underpinning of these results relies on the present-value model for stock-price...

Persistent link: https://www.econbiz.de/10013226962

Forecasting Aluminum Prices with Commodity Currencies

Pincheira, Pablo M. - 2020

In this paper we show that the exchange rates of some commodity exporter countries have the ability to predict the price of spot and future contracts of aluminum. This is shown with both insample and out-of-sample analyses. The theoretical underpinning of these results relies on the...

Persistent link: https://www.econbiz.de/10012845101

Diminishing Dollar Hegemony : What Wars and Sanctions Failed to Accomplish, COVID-19 Has

Taskinsoy, John - 2020

The United States has turned into an anarchic Hobbesian in part triggered by; weakening dollar's natural pull as the main reserve currency; China's massive foreign reserves; fast rise of the renminbi; the failure attempts to dismantle gold and its readiness to reclaim a monetary role at the...

Persistent link: https://www.econbiz.de/10012837594

The Global Competitiveness Index : A Comparative Analysis between Turkey and G8 Nations

Taskinsoy, John - 2019

The Basel Committee on Banking Supervision (i.e. Basel I, II & III), the International Monetary Fund and the World Bank (i.e. Financial Sector Assessment Program), the World Trade Organization, the Bank for International Settlements, the US Federal Reserve, the European Central Bank, the...

Persistent link: https://www.econbiz.de/10012858055

Hybrid historical simulation VaR and ES : performance in developed and emerging markets

Zikovic, Sasa; Filer, Randall - 2009

We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...

Persistent link: https://www.econbiz.de/10010265962

Backtesting Global Growth-at-Risk

Brownlees, Christian - 2020

We conduct an out-of-sample backtesting exercise of Growth-at-Risk (GaR) predictions for 24 OECD countries. We consider forecasts constructed from quantile regression and GARCH models. The quantile regression forecasts are based on a set of recently proposed measures of downside risks to GDP,...

Persistent link: https://www.econbiz.de/10012847547