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The Use of Encompassing Tests for Forecast Combinations

The Use of Encompassing Tests for Forecast Combinations »

Source: The Use of Encompassing Tests for Forecast Combinations

Volume/Issue: 2007/264

Series: IMF Working Papers

Author(s): Turgut Kisinbay

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2007

ISBN: 9781451868272

Keywords: forecast combination, forecast encompassing, thick-modeling, forecasting, significance level, time series, significance levels, econometrics,

The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulne...

Empirical Exchange Rate Models of the Nineties

Empirical Exchange Rate Models of the Nineties »

Source: Empirical Exchange Rate Models of the Nineties : Are Any Fit to Survive?

Volume/Issue: 2004/73

Series: IMF Working Papers

Author(s): Yin-Wong Cheung , Antonio Garcia Pascual , and Menzie Chinn

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2004

ISBN: 9781451849493

Keywords: monetary model, forecasting performance, exchange rate, forecasting, random walk, statistic, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

We reassess exchange rate prediction using a wider set of models that have been proposed in the last decade. The performance of these models is compared against two reference specifications-purchasing power parity...

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market »

Source: Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

Volume/Issue: 1990/43

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 1990

ISBN: 9781451975000

Keywords: survey, exchange rate, foreign exchange, foreign exchange market, forecasting

This paper examines the dynamics of the foreign exchange market. The first half addresses a number of key questions regarding the forecasts of future exchange rates made by market participants, by means of updated...

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons »

Source: Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons

Volume/Issue: 2003/131

Series: IMF Working Papers

Author(s): Turgut Kisinbay

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

ISBN: 9781451855302

Keywords: GARCH, high-frequency data, realized volatility, integrated volatility, and asymmetric volatility, forecasting, statistics, sampling, standard deviation, maximum likelihood estimation

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecast...

Predicting Recessions

Predicting Recessions »

Source: Predicting Recessions : A New Approach for Identifying Leading Indicators and Forecast Combinations

Volume/Issue: 2011/235

Series: IMF Working Papers

Author(s): Turgut Kisinbay , and Chikako Baba

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

ISBN: 9781463922016

Keywords: forecast encompassing, forecast combination, forecasting, recessions, probability, significance level, significance levels, Multiple or Simultaneous Equation Models: General, Multiple or Simultaneous Equation Models: Time-Series Models, Model Evaluation and Selection

This study proposes a data-based algorithm to select a subset of indicators from a large data set with a focus on forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast...

The Information Content of Money in Forecasting Euro Area Inflation

The Information Content of Money in Forecasting Euro Area Inflation »

Source: The Information Content of Money in Forecasting Euro Area Inflation

Volume/Issue: 2008/166

Series: IMF Working Papers

Author(s): Emil Stavrev , and Helge Berger

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2008

ISBN: 9781451870244

Keywords: Information content of money, inflation forecasting, New Keynesian model, DSGE model, P* model, Two-pillar Phillips curve, VAR model, general dynamic factor model, Bayesian estimation, aggregate demand

This paper contributes to the debate on the role of money in monetary policy by analyzing the information content of money in forecasting euro-area inflation. We compare the predictive performance within and among...

Data-Rich DSGE and Dynamic Factor Models

Data-Rich DSGE and Dynamic Factor Models »

Source: Data-Rich DSGE and Dynamic Factor Models

Volume/Issue: 2011/216

Series: IMF Working Papers

Author(s): Maxym Kryshko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2011

ISBN: 9781463903497

Keywords: Data-rich DSGE models, dynamic factor models, Bayesian estimation, inflation, monetary policy, real output, monetary base, monetary economics, Bayesian Analysis, Multiple or Simultaneous Equation Models: Time-Series Models

Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels o...

The Use of Encompassing Tests for Forecast Combinations

The Use of Encompassing Tests for Forecast Combinations »

Volume/Issue: 2007/264

Series: IMF Working Papers

Author(s): Turgut Kisinbay

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2007

DOI: http://dx.doi.org/10.5089/9781451868272.001

ISBN: 9781451868272

Keywords: forecast combination, forecast encompassing, thick-modeling, forecasting, significance level, time series, significance levels, econometrics,

The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulne...

Empirical Exchange Rate Models of the Nineties
			: Are Any Fit to Survive?

Empirical Exchange Rate Models of the Nineties : Are Any Fit to Survive? »

Volume/Issue: 2004/73

Series: IMF Working Papers

Author(s): Yin-Wong Cheung , Antonio Garcia Pascual , and Menzie Chinn

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2004

DOI: http://dx.doi.org/10.5089/9781451849493.001

ISBN: 9781451849493

Keywords: monetary model, forecasting performance, exchange rate, forecasting, random walk, statistic, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

We reassess exchange rate prediction using a wider set of models that have been proposed in the last decade. The performance of these models is compared against two reference specifications-purchasing power parity...

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market

Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market »

Volume/Issue: 1990/43

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 1990

DOI: http://dx.doi.org/10.5089/9781451975000.001

ISBN: 9781451975000

Keywords: survey, exchange rate, foreign exchange, foreign exchange market, forecasting

This paper examines the dynamics of the foreign exchange market. The first half addresses a number of key questions regarding the forecasts of future exchange rates made by market participants, by means of updated...