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Title:Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/31Abstract:The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US ...
Title:MIDAS vs. Mixed-frequency VAR: Nowcasting GDP in the Euro Area Author(s):KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/32Abstract:This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-
VAR) approaches to model speci cation in the presence of mixed-frequency data, e.g.,
monthly and quarterly series. MIDAS leads to parsimonious ...
Title:Choice of Sample Split in Out-of-Sample Forecast Evaluation Author(s):HANSEN, Peter Reinhard; TIMMERMANN, AllanDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/10Abstract:Out-of-sample tests of forecast performance depend on how a given data set is split into estimation and evaluation periods, yet no guidance exists on how to choose the split point. Empirical forecast evaluation results can ...
Title:A survey of econometric methods for mixed-frequency data Author(s):FORONI, Claudia; MARCELLINO, MassimilianoDate:2013Type:Working PaperSeries/Number:EUI ECO; 2013/02Abstract:The development of models for variables sampled at different frequencies has attracted substantial interest in the recent econometric literature. In this paper we provide an overview of the most common techniques, including ...
Title:Granger-Causal Analysis of VARMA-GARCH Models Author(s):WOŹNIAK, TomaszDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/19Abstract:Recent economic developments have shown the importance of spillover and contagion effects in financial markets. Such effects are not limited to relations between the levels of financial variables but also impact on their ...
Title:Testing Causality between Two Vectors in Multivariate GARCH Models Author(s):WOŹNIAK, TomaszDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/20Abstract:Spillover and contagion effects have gained significant interest in the recent years of financial crisis. Attention has not only been directed to relations between returns of financial variables, but to spillovers in risk ...
Title:Empirical Simultaneous Confidence Regions for Path-Forecasts Author(s):JORDÀ, Òscar; KNÜPPEL, Malte; MARCELLINO, MassimilianoDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/18Abstract:Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. ...
Title:Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change Author(s):BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, IgorDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/17Abstract:We conduct a detailed simulation study of the forecasting performance of
diffusion index-based methods in short samples with structural change. We
consider several data generation processes, to mimic different types ...
Title:Which are the SIFIs? : a Component Expected Shortfall (CES) approach to systemic risk Author(s):BANULESCU, Georgiana-Denisa; DUMITRESCU, Elena-IvonaDate:2013Type:Working PaperSeries/Number:EUI MWP; 2013/23Abstract:This paper proposes a component approach to systemic risk which allows to decompose the risk of the aggregate financial system (measured by Expected Shortfall, ES) while accounting for the firm characteristics. Developed ...
Title:Exchange rates and fundamentals : co-movement, long-run relationships and short-run dynamics Author(s):BEKIROS, Stelios D.Date:2014Citation:
- Journal of banking and finance, 2014, Vol 39, pp. 117-134
Type:ArticleAbstract:The present study builds upon the seminal work of Engel and West (2005) and in particular on the relationship between exchange rates and fundamentals. The paper discusses the well-known puzzle that fundamental variables ...