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This paper proposes a new combined semiparametric estimator of the conditional variance that takes the product of a parametric estimator and a nonparametric estimator based on machine learning. A popular kernel-based machine learning algorithm, known as the kernel-regularized least squares...
Persistent link: https://www.econbiz.de/10013201342
as nonparametric and semiparametric models in forecasting the nominal interest rate setting that describes the South …:01 to 2004:12, we compare the out-of-sample forecasting ability of the models over the period 2005:01 to 2008:12. Our …
Persistent link: https://www.econbiz.de/10008513007
rule specifications as well as nonparametric and semiparametric models in forecasting the nominal interest rate setting … semiparametric models in forecasting the interest rates as the forecasting horizon lengthens. …
Persistent link: https://www.econbiz.de/10008643862
This paper proposes a new combined semiparametric estimator of the conditional variance that takes the product of a parametric estimator and a nonparametric estimator based on machine learning. A popular kernel-based machine learning algorithm, known as the kernel-regularized least squares...
Persistent link: https://www.econbiz.de/10012814196
At the workshop organised by the Banque de France some of the most influential researchers in the field discussed recent analytical works on the causes and effects of oil price fluctuations.
Persistent link: https://www.econbiz.de/10010815929
predictors) in forecasting crude oil prices and generating adequate higher values of economic profits. We conduct a range of … structure break tests. Furthermore, we illustrate that the forecasting ability of the second RP-PCA factor may stem from its …
Persistent link: https://www.econbiz.de/10015413385
We provide a versatile nowcasting toolbox that supports three model classes (dynamic factor models, large Bayesian VAR, bridge equations) and offers methods to manage data selection and adjust for Covid-19 observations. The toolbox aims at simplifying two key tasks: creating new nowcasting...
Persistent link: https://www.econbiz.de/10015199442
The forecasting of government revenues is extremely important for an adequate budget execution, since a good accuracy …
Persistent link: https://www.econbiz.de/10013400244
COVID-19 observations and discusses their impact on prior calibration for inference and forecasting purposes. It shows that … volatility. For forecasting, the choice among outlier-robust error structures is less important, however, when a large cross …
Persistent link: https://www.econbiz.de/10013482884
policy is not implemented in the same way and the NNAR models are better for inflation forecasting. …
Persistent link: https://www.econbiz.de/10014461862