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The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - Norges Bank - 2012
, stochastic volatility coupled with fat tails, GARCH and mixture of innovation models. The comparison is based on the accuracy of … volatility specifications, in terms of point forecasting to some degree and density forecasting to a greater degree. …
Persistent link: https://www.econbiz.de/10010787777
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The Macroeconomic Forecasting Performance of Autoregressive Models with Alternative Specifications of Time-Varying Volatility
Clark, Todd E.; Ravazzolo, Francesco - 2012
, stochastic volatility coupled with fat tails, GARCH and mixture of innovation models. The comparison is based on the accuracy of … volatility specifications, in terms of point forecasting to some degree and density forecasting to a greater degree. …
Persistent link: https://www.econbiz.de/10012143797
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Macroeconomic forecasting performance under alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - In: Journal of applied econometrics 30 (2015) 4, pp. 551-575
Persistent link: https://www.econbiz.de/10011332869
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The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - 2012
Persistent link: https://www.econbiz.de/10009627354
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The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility
Clark, Todd E.; Ravazzolo, Francesco - 2012
Persistent link: https://www.econbiz.de/10009628606
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Policy rules in macroeconomic forecasting models
Clark, Todd E. - In: Economic Commentary (2012) Oct
This Commentary describes how some of the Cleveland Fed’s macroeconomic forecasting models have been modified to use a …
Persistent link: https://www.econbiz.de/10011234954
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Tests of equal forecast accuracy for overlapping models
Clark, Todd E.; McCracken, Michael W. - Federal Reserve Bank of St. Louis - 2011
subset of variables common to the larger sets of variables included in the competing forecasting models. We consider an out … comparing the predictive content of credit spreads to growth in real stock prices for forecasting U.S. real GDP growth. …
Persistent link: https://www.econbiz.de/10009320681
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Advances in forecast evaluation
Clark, Todd E.; McCracken, Michael W. - Federal Reserve Bank of St. Louis - 2011
This paper surveys recent developments in the evaluation of point forecasts. Taking West's (2006) survey as a starting point, we briefly cover the state of the literature as of the time of West's writing. We then focus on recent developments, including advancements in the evaluation of forecasts...
Persistent link: https://www.econbiz.de/10009320682
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Have standard VARs remained stable since the crisis?
Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; … - Norges Bank - 2014
Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to improve the … forecasting performance. …
Persistent link: https://www.econbiz.de/10010905649
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Evaluating alternative models of trend inflation
Clark, Todd E.; Doh, Taeyoung - In: International Journal of Forecasting 30 (2014) 3, pp. 426-448
reduced-form inflation modeling and forecasting, we specify a range of models of inflation that incorporate different trend … specifications. We compare the models on the basis of their accuracies in out-of-sample forecasting, both point and density. Our …
Persistent link: https://www.econbiz.de/10010786465