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Title:Oil price forecastability and economic uncertainty Author(s):BEKIROS, Stelios D.
; GUPTA, Rangan; PACCAGNINI, AlessiaDate:2015Citation:
- Economics letters, 2015, Vol. 132, pp. 125–128
Type:ArticleAbstract:Information on economic policy uncertainty does matter in predicting the change in oil prices. We compare the forecastability of standard, Bayesian and time-varying VAR against univariate models. The time-varying VAR model ...
; GUPTA, Rangan; PACCAGNINI, AlessiaDate:2015Citation:
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 ...
Date:2014Citation:
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 ...
; 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:Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP Author(s):MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/16Abstract:This paper compares different ways to estimate the current state of the economy using factor
models that can handle unbalanced datasets. Due to the different release lags of business cycle
indicators, data unbalancedness ...
; SCHUMACHER, ChristianDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/16Abstract:This paper compares different ways to estimate the current state of the economy using factor
models that can handle unbalanced datasets. Due to the different release lags of business cycle
indicators, data unbalancedness ...
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 ...
Date: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:Forecasting Exchange Rates with a Large Bayesian VAR Author(s):CARRIERO, Andrea; KAPETANIOS, George; MARCELLINO, MassimilianoDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/33Abstract:Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...
Date:2008Type:Working PaperSeries/Number:EUI ECO; 2008/33Abstract:Models based on economic theory have serious problems at forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the ...
Title:A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables Author(s):FORONI, Claudia; MARCELLINO, MassimilianoDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/07Abstract:Forecast models that take into account unbalanced datasets have recently attracted substantial attention. In this paper, we focus on different methods pro- posed so far in the literature to deal with mixed-frequency and ...
Date:2012Type:Working PaperSeries/Number:EUI ECO; 2012/07Abstract:Forecast models that take into account unbalanced datasets have recently attracted substantial attention. In this paper, we focus on different methods pro- posed so far in the literature to deal with mixed-frequency and ...
Title:Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP Author(s):KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/13Abstract:This paper discusses pooling versus model selection for now- and forecasting in the presence of model uncertainty with large, unbalanced datasets. Empirically, unbalanced data is pervasive in economics and typically due ...
; SCHUMACHER, ChristianDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/13Abstract:This paper discusses pooling versus model selection for now- and forecasting in the presence of model uncertainty with large, unbalanced datasets. Empirically, unbalanced data is pervasive in economics and typically due ...
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. ...
Date: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 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 ...
Date: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 ...