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  1. Recessions as breadwinner for forecasters state-dependent evaluation of predictive ability: evidence from big macroeconomic US data
    Author: Siliverstovs, Boriss; Wochner, Daniel S.
    Published: 2020
    Publisher:  Latvijas Banka, Riga

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 556
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789934578236
    Series: Working paper / Latvijas Banka ; 2020,2
    Subjects: forecast evaluation; dynamic factor models; business cycle asymmetries; big macroeconomic datasets; US
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  2. Testing forecast rationality for measures of central tendency
    Author: Dimitriadis, Timo; Patton, Andrew J.; Schmidt, Patrick W.
    Published: 12/2020
    Publisher:  University of Hohenheim, Dean's Office of the Faculty of Business, Economics and Social Sciences, Stuttgart, Germany

    Rational respondents to economic surveys may report as a point forecast any measure of the central tendency of their (possibly latent) predictive distribution, for example the mean, median, mode, or any convex combination thereof. We propose tests of... more

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    HeiBIB - Die Heidelberger Universitätsbibliographie
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Kommunikations-, Informations- und Medienzentrum der Universität Hohenheim
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    Rational respondents to economic surveys may report as a point forecast any measure of the central tendency of their (possibly latent) predictive distribution, for example the mean, median, mode, or any convex combination thereof. We propose tests of forecast rationality when the measure of central tendency used by the respondent is unknown. We overcome an identification problem that arises when the measures of central tendency are equal or in a local neighborhood of each other, as is the case for (exactly or nearly) symmetric distributions. As a building block, we also present novel tests for the rationality of mode forecasts. We apply our tests to survey forecasts of individual income, Greenbook forecasts of U.S. GDP, and random walk forecasts for exchange rates. We find that the Greenbook and random walk forecasts are best rationalized as mean, or near-meanforecasts, while the income survey forecasts are best rationalized as mode forecasts.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/225630
    Series: Hohenheim discussion papers in business, economics and social sciences ; 2020, 12
    Subjects: Prognose; Prognosemodell; forecast evaluation; weak identification; survey forecasts; mode forecasts
    Scope: 1 Online-Ressource (73 Seiten), Diagramme
  3. Three essays on volatility forecasting and forecast evaluation
    Author: Kleen, Onno
    Published: 2020
    Publisher:  Universitätsbibliothek Heidelberg, Heidelberg

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    Fachhochschule Erfurt, Hochschulbibliothek
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Universität Hamburg, Universitätsbibliothek
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    Universitätsbibliothek Heidelberg
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Zentrale Hochschulbibliothek Lübeck
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Hochschule Osnabrück, Bibliothek Campus Westerberg
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    Hochschule Magdeburg-Stendal, Standort Stendal, Bibliothek
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    UB Weimar
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    Source: Union catalogues
    Contributor: Conrad, Christian (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    Subjects: Economic forecasting; forecast evaluation; volatility; portfolio analysis; GARCH-MIDAS; low-volatility anomaly
    Scope: 1 Online-Ressource (iii, 157 Seiten), Diagramme
    Notes:

    Betreuer: Christian Conrad

    Freie Schlagwörter: Economic forecasting, forecast evaluation, volatility, portfolio analysis, GARCH-MIDAS, low-volatility anomaly

    Dissertation, Ruprecht-Karls-Universit ̈at Heidelberg, 2020