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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:Forecasting Euro-Area Variables with German Pre-EMU Data Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut; MARCELLINO, MassimilianoDate:2006Type:Working PaperSeries/Number:EUI ECO; 2006/30Abstract:It is investigated whether Euro-area variables can be forecast better based on synthetic
time series for the pre-Euro period or by using just data from Germany for the pre-Euro period.
Our forecast comparison is based ...
; MARCELLINO, MassimilianoDate:2006Type:Working PaperSeries/Number:EUI ECO; 2006/30Abstract:It is investigated whether Euro-area variables can be forecast better based on synthetic
time series for the pre-Euro period or by using just data from Germany for the pre-Euro period.
Our forecast comparison is based ...
Title:Financial Connections and Systemic Risk Author(s):ALLEN, Franklin; BABUS, Ana; CARLETTI, ElenaDate:2010Type:Working PaperSeries/Number:EUI ECO; 2010/26Abstract:An important source of systemic risk is overlapping portfolio exposures among financial institutions. We develop a model where institutions form connections through swaps of projects in order to diversify their individual ...
Date:2010Type:Working PaperSeries/Number:EUI ECO; 2010/26Abstract:An important source of systemic risk is overlapping portfolio exposures among financial institutions. We develop a model where institutions form connections through swaps of projects in order to diversify their individual ...