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Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them

Citations

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Cited by:

  1. Carola Conces Binder & Rodrigo Sekkel, 2024. "Central bank forecasting: A survey," Journal of Economic Surveys, Wiley Blackwell, vol. 38(2), pages 342-364, April.
  2. Nicolás Magner & Nicolás Hardy, 2022. "Cryptocurrency Forecasting: More Evidence of the Meese-Rogoff Puzzle," Mathematics, MDPI, vol. 10(13), pages 1-27, July.
  3. Tony Chernis & Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Predictive Density Combination Using a Tree-Based Synthesis Function," Staff Working Papers 23-61, Bank of Canada.
  4. Li, Dongxin & Zhang, Li & Li, Lihong, 2023. "Forecasting stock volatility with economic policy uncertainty: A smooth transition GARCH-MIDAS model," International Review of Financial Analysis, Elsevier, vol. 88(C).
  5. Bastianin, Andrea & Mirto, Elisabetta & Qin, Yan & Rossini, Luca, 2024. "What drives the European carbon market? Macroeconomic factors and forecasts," FEEM Working Papers 339740, Fondazione Eni Enrico Mattei (FEEM).
  6. Garratt, Anthony & Henckel, Timo & Vahey, Shaun P., 2023. "Empirically-transformed linear opinion pools," International Journal of Forecasting, Elsevier, vol. 39(2), pages 736-753.
  7. James Mitchell & Aubrey Poon & Dan Zhu, 2024. "Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 790-812, August.
  8. Moramarco, Graziano, 2024. "Financial-cycle ratios and medium-term predictions of GDP: Evidence from the United States," International Journal of Forecasting, Elsevier, vol. 40(2), pages 777-795.
  9. Thompson, Ryan & Qian, Yilin & Vasnev, Andrey L., 2024. "Flexible global forecast combinations," Omega, Elsevier, vol. 126(C).
  10. Konstantin Boss & Finja Krueger & Conghan Zheng & Tobias Heidland & Andre Groeger, 2023. "Forecasting Bilateral Refugee Flows with High-dimensional Data and Machine Learning Techniques," Working Papers 1387, Barcelona School of Economics.
  11. Bobeica, Elena & Hartwig, Benny, 2023. "The COVID-19 shock and challenges for inflation modelling," International Journal of Forecasting, Elsevier, vol. 39(1), pages 519-539.
  12. Pablo Guerróon‐Quintana & Molin Zhong, 2023. "Macroeconomic forecasting in times of crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(3), pages 295-320, April.
  13. Eric Hillebrand & Jakob Guldbæk Mikkelsen & Lars Spreng & Giovanni Urga, 2023. "Exchange rates and macroeconomic fundamentals: Evidence of instabilities from time‐varying factor loadings," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(6), pages 857-877, September.
  14. Bobeica, Elena & Hartwig, Benny, 2021. "The COVID-19 shock and challenges for time series models," Working Paper Series 2558, European Central Bank.
  15. N. Kundan Kishor, 2024. "Does the Zillow rent measure help predict CPI rent inflation?," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 59(4), pages 220-226, October.
  16. Korobilis, Dimitris & Landau, Bettina & Musso, Alberto & Phella, Anthoulla, 2021. "The time-varying evolution of inflation risks," Working Paper Series 2600, European Central Bank.
  17. Héctor M. Zárate-Solano & Norberto Rodríguez-Niño, 2024. "Consumer Prices Trends in Colombia: Detecting Breaks and Forecasting Infation," Borradores de Economia 1289, Banco de la Republica de Colombia.
  18. Stylianos Asimakopoulos & Marco Lorusso & Francesco Ravazzolo, 2023. "A Bayesian DSGE Approach to Modelling Cryptocurrency"," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 1012-1035, December.
  19. Fameliti Stavroula & Skintzi Vasiliki, 2024. "Macroeconomic attention and commodity market volatility," Empirical Economics, Springer, vol. 67(5), pages 1967-2007, November.
  20. Yu Jeffrey Hu & Jeroen Rombouts & Ines Wilms, 2023. "Fast Forecasting of Unstable Data Streams for On-Demand Service Platforms," Papers 2303.01887, arXiv.org, revised May 2024.
  21. Yolanda S. Stander, 2024. "A News Sentiment Index to Inform International Financial Reporting Standard 9 Impairments," JRFM, MDPI, vol. 17(7), pages 1-23, July.
  22. Eric Hillebrand & Jakob Mikkelsen & Lars Spreng & Giovanni Urga, 2020. "Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings," CREATES Research Papers 2020-19, Department of Economics and Business Economics, Aarhus University.
  23. Friedrich, Marina & Lin, Yicong, 2024. "Sieve bootstrap inference for linear time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 239(1).
  24. Philip Hans Franses, 2024. "Incorporating judgment in forecasting models in times of crisis," Futures & Foresight Science, John Wiley & Sons, vol. 6(4), December.
  25. Wang, Xiaoqian & Hyndman, Rob J. & Li, Feng & Kang, Yanfei, 2023. "Forecast combinations: An over 50-year review," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1518-1547.
  26. Bennett, Donyetta & Mekelburg, Erik & Strauss, Jack & Williams, T.H., 2024. "Unlocking the black box of sentiment and cryptocurrency: What, which, why, when and how?," Global Finance Journal, Elsevier, vol. 60(C).
  27. Fabrizio Iacone & Luca Rossini & Andrea Viselli, 2024. "Comparing predictive ability in presence of instability over a very short time," Papers 2405.11954, arXiv.org.
  28. Ray C. Fair, 2022. "A note on the fed’s power to lower inflation," Business Economics, Palgrave Macmillan;National Association for Business Economics, vol. 57(2), pages 56-63, April.
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