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Forecasting sovereign bond realized volatility using time-varying coefficients model

Malinska, Barbora - 2021

This paper studies predictability of realized volatility of U.S. Treasury futures using high-frequency data for 2-year, 5-year, 10-year and 30-year tenors from 2006 to 2017. We extend heterogeneous autoregressive model by Corsi (2009) by higher-order realized moments and allow all model...

Persistent link: https://www.econbiz.de/10012542381

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10012756639

Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US

Haase, Felix; Neuenkirch, Matthias - 2021 - This Version: January 8, 2021

The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...

Persistent link: https://www.econbiz.de/10012180543

Multi-population Mortality Projection : The Augmented Common Factor Model with Structural Breaks

Wang, Pengjie - 2020

Multi-population mortality forecasting has become an increasingly important area in actuarial science and demography, as a means to avoid long-run divergence in mortality projection. This paper aims to establish a unified state-space Bayesian framework to model, estimate and forecast mortality...

Persistent link: https://www.econbiz.de/10012832560

A State-Dependent Model for Inflation Forecasting

Stella, Andrea - 2017

We develop a parsimonious bivariate model of inflation and unemployment that allows for persistent variation in trend inflation and in the non-accelerating inflation rate of unemployment. The model, which consists of five unobserved components (including the trends) with stochastic volatility,...

Persistent link: https://www.econbiz.de/10012974787

Spatial Panel Data Forecasting over Different Horizons, Cross-Sectional and Temporal Dimensions

Mayor, Matías - 2013

Empirical assessments of the forecasting power of spatial panel data econometric models are still scarcely available. Moreover, several methodological contributions rely on simulated data to showcase the potential of proposed methods. While simulations may be useful to evaluate the properties of...

Persistent link: https://www.econbiz.de/10013077158

Information Combination and Forecast (St)Ability Evidence from Vintages of Time-Series Data

Ciccarelli, Matteo; Altavilla, Carlo - 2021

This paper explores the role of model and vintage combination in forecasting, with a novel approach that exploits the information contained in the revision history of a given variable. We analyse the forecast performance of eleven widely used models to predict inflation and GDP growth, in the...

Persistent link: https://www.econbiz.de/10013316663

Imputing monthly values for quarterly time series : an application performed with Swiss business cycle data

Abberger, Klaus; Graff, Michael; Müller, Oliver; … - 2022

This paper documents a comparative application of algorithms to deal with the problem of missing values in higher frequency data sets. We refer to Swiss business tendency survey (BTS) data, in particular the KOF manufacturing surveys, which are conducted in both monthly and quarterly frequency,...

Persistent link: https://www.econbiz.de/10013472865

Imputing monthly values for quarterly time series : an application performed with Swiss business cycle data

Abberger, Klaus; Graff, Michael; Müller, Oliver; … - 2022

This paper documents a comparative application of algorithms to deal with the problem of missing values in higher frequency data sets. We refer to Swiss business tendency survey (BTS) data which are conducted in both monthly and quarterly frequency, where an information sub-set is collected at...

Persistent link: https://www.econbiz.de/10013482570

Predicting the unemployment rate using autoregressive integrated moving average

Huruta, Andrian Dolfriandra - In: Cogent business & management 11 (2024) 1, pp. 1-21

The objective of this study is to predict unemployment in Indonesia in the wake of the demographic dividend. The sample used in this study is the unemployment data from 1990 to 2022 from the Indonesian Central Bureau of Statistics database. Using non-seasonal ARIMA (Autoregressive Integrated...

Persistent link: https://www.econbiz.de/10014540210