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Displaying results 1 to 5 of 5.

  1. A benchmark model for fixed-target Arctic Sea ice forecasting
    Author: Diebold, Francis X.; Göbel, Maximilian
    Published: January 2, 2022
    Publisher:  Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, Philadelphia, PA

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Keine Rechte
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: PIER working paper ; 22, 002
    Subjects: Climate forecasting; climate prediction; climate change; forecast evaluation
    Scope: 1 Online-Ressource (circa 13 Seiten), Illustrationen
  2. Nowcasting the state of the Italian economy
    the role of financial markets
    Author: Ceci, Donato; Silvestrini, Andrea
    Published: [2022]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 450
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Temi di discussione / Banca d'Italia ; number 1362 (February 2022)
    Subjects: financial markets; probit models; factor-augmented probit models; model confidence set; penalized likelihood; forecast evaluation
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  3. Forecasting with panel data
    estimation uncertainty versus parameter heterogeneity
    Author: Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan
    Published: April 2022
    Publisher:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with existing approaches. We conduct a systematic comparison of their predictive accuracy in settings with different cross-sectional (N) and... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 63
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    We develop novel forecasting methods for panel data with heterogeneous parameters and examine them together with existing approaches. We conduct a systematic comparison of their predictive accuracy in settings with different cross-sectional (N) and time (T) dimensions and varying degrees of parameter heterogeneity. We investigate conditions under which panel forecasting methods can perform better than forecasts based on individual estimates and demonstrate how gains in predictive accuracy depend on the degree of parameter heterogeneity, whether heterogeneity is correlated with the regressors, the goodness of fit of the model, and, particularly, the time dimension of the data set. We propose optimal combination weights for forecasts based on pooled and individual estimates and develop a novel forecast poolability test that can be used as a pretesting tool. Through a set of Monte Carlo simulations and three empirical applications to house prices, CPI inflation, and stock returns, we show that no single forecasting approach dominates uniformly. However, forecast combination and shrinkage methods provide better overall forecasting performance and offer more attractive risk profiles compared to individual, pooled, and random effects methods.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/260820
    Series: CESifo working paper ; no. 9690 (2022)
    Subjects: forecasting; panel data; heterogeneity; forecast evaluation; forecast combination; shrinkage; pooling
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  4. Can information on the distribution of ZAR returns be used to improve SARB's ZAR forecasts?
    Author: Greenwood-Nimmo, Matthew; Steenkamp, Daan; Van Jaarsveld, Rossouw
    Published: 27 September 2022
    Publisher:  Economic Research and Statistics Department, South African Reserve Bank, Pretoria

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 655
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: South African Reserve Bank working paper series ; WP, 22, 14
    Subjects: Foreign exchange markets; realised and options-implied return distributions; variance risk premium; forecast evaluation
    Scope: 1 Online-Ressource (circa 27 Seiten), Illustrationen
  5. How Credit Improves the Exchange Rate Forecast
    Author: Časta, Martin
    Published: August 2022
    Publisher:  Czech National Bank, Economic Research Department, Praha

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 490
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Czech National Bank ; 2022, 7
    Subjects: Exchange rates; forecasting; forecast evaluation
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen