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  1. News and narratives in financial systems
    exploiting big data for systemic risk assessment
    Published: January 2018
    Publisher:  Bank of England, London

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Staff working paper / Bank of England ; no. 704
    Subjects: Systemic risk; text mining; big data; sentiment; uncertainty; narratives; forecasting; early warning indicators
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  2. Selecting a model for forecasting
    Published: [2018]
    Publisher:  University of Oxford, Department of Economics, Oxford

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Department of Economics discussion paper series / University of Oxford ; number 861 (November 2018)
    Subjects: model selection; forecasting; location shifts; significance level; Autometrics
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  3. A financial conditions index for the CEE economies
    Author: Auer, Simone
    Published: [2017]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    VS 450 (1145)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Temi di discussione / Banca d'Italia ; number 1145 (October 2017)
    Subjects: Financial Conditions Index; dynamic fact or models; forecasting; macro-financial linkages
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  4. Short term forecasts of economic activity
    are fortnightly factors useful?
    Published: [2018]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    VS 450 (1177)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Temi di discussione / Banca d'Italia ; number 1177 (June 2018)
    Subjects: factor models; Kalman filter; temporal disaggregation; mixed frequency data; forecasting
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  5. Nowcasting private consumption
    traditional indicators, uncertainty measures, credit cards and some internet data
    Published: 2018
    Publisher:  Banco de España, Madrid

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    VS 470 (1842)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 1842
    Subjects: private consumption; nowcasting; forecasting; uncertainty; Google Trends
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  6. The Bank of Italy econometric model
    an update of the main equations and model elasticities
    Published: [2017]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    VS 450
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Temi di discussione / Banca d'Italia ; number 1130 (July 2017)
    Subjects: Macro-econometric models; Italy; forecasting; policy simulation
    Scope: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  7. The global component of inflation volatility
    Published: [2018]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    VS 450
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Temi di discussione / Banca d'Italia ; number 1170 (April 2018)
    Subjects: inflation; volatility; global factors; large datasets; multivariate autoregressive index models; reduced rank regressions; forecasting
    Scope: 1 Online-Ressource (circa 72 Seiten), Illustrationen
  8. MAPI: Model for Analysis and Projection of Inflation in France
    Published: [2017]
    Publisher:  Banque de France, [Paris]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Banque de France ; 637 (August 2017)
    Subjects: forecasting; inflation; time-series
    Scope: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  9. The importance of betting early
    Published: [2014]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: June, 2014
    Series: Working paper series / IGIER ; n. 502
    Subjects: sports betting; decision timing; information overload; forecasting
    Scope: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  10. Model averaging in Markov-switching models
    predicting national recessions with regional data
    Published: 2017
    Publisher:  Banco de España, Madrid

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Documentos de trabajo / Banco de España, Eurosistema ; no. 1727
    Subjects: business cycles; forecast combination; forecasting; Markov-switching; nowcasting
    Scope: 1 Online-Ressource (circa 18 Seiten)
  11. Is China fudging its GDP figures?
    evidence from trading partner data
    Published: August 19, 2019
    Publisher:  Federal Reserve Bank of San Francisco, [San Francisco, CA]

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    VS 385
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working papers series / Federal Reserve Bank of San Francisco ; 2019, 19 (August 2019)
    Subjects: China; GDP; principal components; structural break; forecasting
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  12. Longevity forecasting by socio-economic groups using compositional data analysis
    Published: 2019
    Publisher:  Department of Economics and Business Economics, Aarhus University, Aarhus, Denmark

    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    VS 564
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CREATES research paper ; 2019, 8
    Subjects: Compositional data; forecasting; longevity; pension; socioeconomic groups
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  13. Option-Implied Asymmetry and Market Returns
    Published: 2022
    Publisher:  SSRN, [S.l.]

    We propose a novel method to estimate risk-neutral quantiles that uses sorting to minimize an objective function given by a convex combination of call and put option prices over the range of available strike prices. We demonstrate that this new... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    We propose a novel method to estimate risk-neutral quantiles that uses sorting to minimize an objective function given by a convex combination of call and put option prices over the range of available strike prices. We demonstrate that this new method significantly improves the accuracy of quantile estimates relative to existing approaches. We use the method to estimate a novel risk-neutral quantile-based asymmetry measure (RNA) from S&P 500 index options. In contrast to existing risk-neutral skewness measures, we find that RNA is significantly negatively linked to future market excess returns at horizons ranging from one to twelve weeks. Our findings suggest that ex-ante systematic asymmetry does matter when predicting excess market returns

     

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Michael J. Brennan Irish Finance Working Paper Series Research Paper ; No. 22-12
    Subjects: Model-free quantiles; asymmetry; skewness; forecasting; equity risk premium
    Scope: 1 Online-Ressource (84 p)
    Notes:

    Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 30, 2022 erstellt

  14. A structural approach to combining external and DSGE model forecasts
    Published: [2023]
    Publisher:  Research Department, Federal Reserve Bank of Philadelphia, Philadelphia, PA

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    VS 438
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working papers / Research Department, Federal Reserve Bank of Philadelphia ; 23, 10 (June 2023)
    Subjects: forecasting; model averaging; DSGE model; judgmental forecasts
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  15. Optimal forecasts in the presence of discrete structural breaks under long memory
    Published: [2022]
    Publisher:  [Wirtschaftswissenschaftliche Fakultät der Leibniz Universität Hannover], [Hannover]

    We develop methods to obtain optimal forecast under long memory in the presence of a discrete structural break based on different weighting schemes for the observations. We observe significant changes in the forecasts when long-range dependence is... more

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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    DS 8
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    We develop methods to obtain optimal forecast under long memory in the presence of a discrete structural break based on different weighting schemes for the observations. We observe significant changes in the forecasts when long-range dependence is taken into account. Using Monte Carlo simulations, we confirm that our methods substantially improve the forecasting performance under long memory. We further present an empirical application to in inflation rates that emphasizes the importance of our methods.

     

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/283156
    Series: [Hannover economic papers (HEP)] / [Wirtschaftswissenschaftliche Fakultät der Leibniz Universität Hannover] ; [Nummer: 705 (Dec 2022)]
    Subjects: long memory; forecasting; structural break; optimal weight; ARFIMA model
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  16. Predicting Chinese consumption series with Baidu
    Published: [2022]
    Publisher:  Department of Economics and Finance, UC Business School, University of Canterbury, Christchurch, New Zealand

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    VS 92
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    Language: English
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    Series: Working paper / Department of Economics and Finance, School of Business and Economics, University of Canterbury ; no. 2022, 19
    Subjects: China; Baidu Index; Google Trends; forecasting; consumption
    Scope: 1 Online-Ressource (circa 64 Seiten), Illustrationen
  17. Empirical DSGE model evaluation with interest rate expectations measures and preferences over safe assets
    Published: [2023]
    Publisher:  National Bank of Belgium, Brussels

    We estimate a DSGE model with Preferences Over Safe Assets (POSA) on Euro Area macroeconomic data and interest rate expectations measures. The model with POSA has much better empirical fit than the otherwise identical model without, especially once... more

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    We estimate a DSGE model with Preferences Over Safe Assets (POSA) on Euro Area macroeconomic data and interest rate expectations measures. The model with POSA has much better empirical fit than the otherwise identical model without, especially once interest rate expectations are added to the data set. Including measures interest rate expectations strongly improves the model forecast of GDP and its components, with the best forecast delivered by the POSA model. Finally, with POSA, ECB forward guidance increased GDP and inflation by 1.9 % and 0.1 percentage points by 2019Q4, respectively, much less than without POSA.

     

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    Series: Working paper research / National Bank of Belgium ; no 433 (February 2023)
    Subjects: DSGE estimation with interest rate expectations in the data set; forecasting; forward guidance; preferences over safe assets
    Scope: 1 Online-Ressource (circa 69 Seiten), Illustrationen
  18. Investigating growth at risk using a multi-country non-parametric quantile factor model
    Published: [2023]
    Publisher:  Department of Economics, University of Strathclyde, Glasgow

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    ZSS 88
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    Language: English
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    Series: Strathclyde discussion papers in economics ; no. 23, 7
    Subjects: non-parametric regression; regression trees; forecasting
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  19. Forecasting regional inflation in the Philippines using machine learning techniques:
    A new approach
    Published: October 2020
    Publisher:  Bangko Sentral ng Pilipinas, [Malate Manila, Philippines]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: BSP working paper series ; no. 2020, 10
    Subjects: forecasting; ARIMA; support vector regression; artificial neural networks; long-short term memory; regional inflation forecasting
    Scope: 1 Online-Ressource (circa 83 Seiten), Illustrationen
  20. Policy analysis model for the Philippines
    Published: December
    Publisher:  Bangko Sentral ng Pilipinas, [Malate Manila, Philippines]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: BSP working paper series ; no. 2020, 12
    Subjects: quarterly projection model; semi-structural; monetary policy; forecasting; FPAS; transmission mechanism; inflation; Philippines
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  21. An application of large bayesian vector autoregressive (BVAR) model in nowcasting the Philippine economy
    Published: August 2022
    Publisher:  Bangko Sentral ng Pilipinas, [Malate Manila, Philippines]

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    Source: Union catalogues
    Language: English
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    Format: Online
    Series: BSP working paper series ; no. 2022, 06
    Subjects: macroeconomic modelling; forecasting
    Scope: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  22. The contribution of realized covariance models to the economic value of volatility timing
    Published: [2023]
    Publisher:  CORE, Louvain-la-Neuve

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    VS 203
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Other identifier:
    hdl: 2078.1/276764
    Series: LIDAM discussion paper CORE ; 2023, 18
    Subjects: volatility timing; realized volatility; high-frequency data; forecasting
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  23. Enhancing the quarterly projection model
    Published: June 2023
    Publisher:  Economic Research and Statistics Department, South African Reserve Bank, Pretoria

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    VS 655
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    Series: South African Reserve Bank working paper series ; WP, 23, 05
    Subjects: forecasting; fiscal policy; monetary policy; South Africa; macroeconomic models
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  24. Flexible bayesian midas
    time variation, group shrinkage and sparsity
    Published: [2023]
    Publisher:  Bank of England, London

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    VS 443
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    Source: Union catalogues
    Language: English
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    Series: Staff working paper / Bank of England ; no. 1025 (May 2023)
    Subjects: Bayesian MIDAS regressions; forecasting; time‑variation and fat tails; grouped horseshoe prior; decision analysis
    Scope: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  25. Forecasting the price of oil
    Published: [2011]
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    VS 201
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    Language: English
    Media type: Book
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    Series: International finance discussion papers ; number 1022 (July 2011)
    Subjects: Ölpreis; Prognoseverfahren; Statistische Methode; Asymmetries; demand and supply; forecasting; oil price; predictability; Econometric and statistical methods; International topics
    Scope: 1 Online-Ressource (circa 118 Seiten), Illustrationen