Country: United Kingdom

Found 17295 papers in total
Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank
Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank
2009,
The main focus of this paper is to model the daily series of banknotes in circulation....
A robust Cusum test for SETAR-type nonlinearity in time series
A robust Cusum test for SETAR-type nonlinearity in time series
2009,
As a part of an effective self-exciting threshold autoregressive (SETAR) modeling...
Simultaneous prediction intervals for ARMA processes with stable innovations
Simultaneous prediction intervals for ARMA processes with stable innovations
2009,
We describe a method for calculating simultaneous prediction intervals for ARMA times...
A new Bayesian formulation for Holt's exponential smoothing
A new Bayesian formulation for Holt's exponential smoothing
2009,
In this paper we propose a Bayesian forecasting approach for Holt's additive...
On a dynamic mixture GARCH model
On a dynamic mixture GARCH model
2009,
This paper proposes a new mixture GARCH model with a dynamic mixture proportion. The...
Real-time or current vintage: does the type of data matter for forecasting and model selection?
Real-time or current vintage: does the type of data matter for forecasting and model selection?
2009,
In this paper we investigate the impact of data revisions on forecasting and model...
Forecasting the FOMC's interest rate setting behavior: a further analysis
Forecasting the FOMC's interest rate setting behavior: a further analysis
2009,
We develop a model to forecast the Federal Open Market Committee's (FOMC's) interest...
Forecasting US inflation by Bayesian model averaging
Forecasting US inflation by Bayesian model averaging
2009,
Recent empirical work has considered the prediction of inflation by combining the...
A high-low model of daily stock price ranges
A high-low model of daily stock price ranges
2009,
We observe that daily highs and lows of stock prices do not diverge over time and,...
ARFIMA approximation and forecasting of the limiting aggregate structure of long-memory process
ARFIMA approximation and forecasting of the limiting aggregate structure of long-memory process
2009,
This article studies Man and Tiao's (2006) low-order autoregressive fractionally...
Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment
Comparing the DSGE model with the factor model: an out-of-sample forecasting experiment
2009,
In this paper, we put dynamic stochastic general equilibrium DSGE forecasts in...
Parsimonious modeling and forecasting of corporate yield curve
Parsimonious modeling and forecasting of corporate yield curve
2009,
This paper investigates the sensitivity of out-of-sample forecasting performance over...
Sports forecasting: a comparison of the forecast accuracy of prediction markets, betting odds and tipsters
Sports forecasting: a comparison of the forecast accuracy of prediction markets, betting odds and tipsters
2009,
This article compares the forecast accuracy of different methods, namely prediction...
Are all crowds equally wise? a comparison of political election forecasts by experts and the public
Are all crowds equally wise? a comparison of political election forecasts by experts and the public
2009,
Four groups made forecasts of the outcome of the Swedish Parliamentary election in the...
Expectations, use and judgmental adjustment of external financial and economic forecasts: an empirical investigation
Expectations, use and judgmental adjustment of external financial and economic forecasts: an empirical investigation
2009,
A survey of 124 users of externally produced financial and economic forecasts in...
Optimal sampling frequency for volatility forecast models for the Indian stock markets
Optimal sampling frequency for volatility forecast models for the Indian stock markets
2009,
This paper evaluates the performance of conditional variance models using...
The predictive value of temporally disaggregated volatility: evidence from index futures markets
The predictive value of temporally disaggregated volatility: evidence from index futures markets
2008,
This paper examines the benefits to forecasters of decomposing close-to-close return...
Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta
Forecasting ability of GARCH vs Kalman filter method: evidence from daily UK time-varying beta
2008,
This paper investigates the forecasting ability of four different GARCH models and the...
Modeling regime transition in stock index futures markets and forecasting implications
Modeling regime transition in stock index futures markets and forecasting implications
2008,
Using a time-varying regime-switching vector error correction approach, this paper...
Asymptotic prediction of mean squared error for long-memory processes with estimated parameters
Asymptotic prediction of mean squared error for long-memory processes with estimated parameters
2008,
In this paper we deal with the prediction theory of long-memory time series. The...
Power transformation models and volatility forecasting
Power transformation models and volatility forecasting
2008,
This paper considers the forecast accuracy of a wide range of volatility models, with...
Tourism in the Canary Islands: forecasting using several seasonal time series models
Tourism in the Canary Islands: forecasting using several seasonal time series models
2008,
This paper deals with the analysis of the number of tourists travelling to the Canary...
Is it a short-memory, long-memory, or permanently Granger-causation influence?
Is it a short-memory, long-memory, or permanently Granger-causation influence?
2008,
Exploring the Granger-causation relationship is an important and interesting topic in...
Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
2008,
Recent models for credit risk management make use of hidden Markov models (HMMs). HMMs...
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