Workshop on Forecasting
Session 1
- The global component of inflation volatility
Andrea Carriero, Francesco Corsello, Massimiliano Marcellino - Composite likelihood methods for large Bayesian VARs with stochastic volatility
Joshua Chan, Eric Eisenstat, Chenghan Hou, Gary Koop
Composite likelihood methods for large Bayesian VARs with stochastic volatility Joshua Chan, Eric Eisenstat, Chenghan Hou, Gary Koop|
Composite likelihood methods for large Bayesian VARs with stochastic volatility Joshua Chan, Eric Eisenstat, Chenghan Hou, Gary Koop
Session 2
- Forecasting with many predictors using message passing
Dimitris Korobilis - Big data analytics in economics: What have we learned so far, and where should we go from here?
Norman Swanson, Weiqi Xiong
Big data analytics in economics: What have we learned so far, and where should we go from here? Norman Swanson, Weiqi Xiong|
Big data analytics in economics: What have we learned so far, and where should we go from here? Norman Swanson, Weiqi Xiong
Poster Session 1
- Order invariant tests for proper calibration of multivariate density forecasts
Jonas Dovern, Hans Manner
Order invariant tests for proper calibration of multivariate density forecasts Jonas Dovern, Hans Manner - Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov switching model
Roberto Casarin, Claudia Foroni, Massimiliano Marcellino, Francesco Ravazzolo
Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov switching model Roberto Casarin, Claudia Foroni, Massimiliano Marcellino, Francesco Ravazzolo - Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Thomas Götz, Klemens Hauzenberger
Large mixed-frequency VARs with a parsimonious time-varying parameter structure Thomas Götz, Klemens Hauzenberger - Focusing on regions of interest in forecast evaluation
Hajo Holzmann, Bernhard Klar
Focusing on regions of interest in forecast evaluation Hajo Holzmann, Bernhard Klar|
Focusing on regions of interest in forecast evaluation Hajo Holzmann, Bernhard Klar - Probabilistic forecasting and comparative model assessment based on Markov chain Monte Carlo output
Fabian Krüger, Sebastian Lerch, Thordis L. Thorarinsdottir, Tilmann Gneiting
Probabilistic forecasting and comparative model assessment based on Markov chain Monte Carlo output Fabian Krüger, Sebastian Lerch, Thordis L. Thorarinsdottir, Tilmann Gneiting|
Probabilistic forecasting and comparative model assessment based on Markov chain Monte Carlo output Fabian Krüger, Sebastian Lerch, Thordis L. Thorarinsdottir, Tilmann Gneiting - A severity function approach to scenario selection
Frieder Mokinski
A severity function approach to scenario selection Frieder Mokinski - Probability forecasts of deflation for the Euro area and Japan: an evaluation using scoring rules for binary outcomes.
Inske Pirschel, Christian Schumacher
Probability forecasts of deflation for the Euro area and Japan: an evaluation using scoring rules for binary outcomes. Inske Pirschel, Christian Schumacher
Session 3
- Dynamic semiparametric models for expected shortfall (and value-at-risk)
Andrew J. Patton, Johanna F. Ziegel, Rui Chen
Dynamic semiparametric models for expected shortfall (and value-at-risk) Andrew J. Patton, Johanna F. Ziegel, Rui Chen|
Dynamic semiparametric models for expected shortfall (and value-at-risk) Andrew J. Patton, Johanna F. Ziegel, Rui Chen - Back to the future: Backtesting systemic risk measures during historical bank runs
Christian Brownlees, Ben Chabot, Eric Ghysels, Christopher Kurz
Back to the future: Backtesting systemic risk measures during historical bank runs Christian Brownlees, Ben Chabot, Eric Ghysels, Christopher Kurz|
Back to the future: Backtesting systemic risk measures during historical bank runs Christian Brownlees, Ben Chabot, Eric Ghysels, Christopher Kurz
Session 4
- Time-varying combinations of Bayesian dynamic models and equity momentum strategies
Nalan Baştürk, Stefano Grassi, Lennart Hoogerheide, Herman K. van Dijk
Time-varying combinations of Bayesian dynamic models and equity momentum strategies Nalan Baştürk, Stefano Grassi, Lennart Hoogerheide, Herman K. van Dijk|
Time-varying combinations of Bayesian dynamic models and equity momentum strategies Nalan Baştürk, Stefano Grassi, Lennart Hoogerheide, Herman K. van Dijk - Data revisions and real-time probabilistic forecasting of macroeconomic variables
Michael P. Clements, Ana Beatriz Galvao
Session 5
- How far can we forecast? Statistical tests of the predictive content
Jörg Breitung, Malte Knüppel
How far can we forecast? Statistical tests of the predictive content Jörg Breitung, Malte Knüppel|
How far can we forecast? Statistical tests of the predictive content Jörg Breitung, Malte Knüppel - Understanding the Sources of Macroeconomic Uncertainty
Barbara Rossi, Tatevik Sekhposyan, Matthieu Soupre
Understanding the Sources of Macroeconomic Uncertainty Barbara Rossi, Tatevik Sekhposyan, Matthieu Soupre
Session 6
- An empirical investigation of direct and iterated multistep approaches to producing conditional forecasts
Michael W. McCracken, Joseph McGillicuddy
An empirical investigation of direct and iterated multistep approaches to producing conditional forecasts Michael W. McCracken, Joseph McGillicuddy - Censoring and fat tails on the monetary policy committee
James Mitchell, Martin Weale
Poster Session 2
- Time-varying uncertainty and exchange rate predictability
Knut-Are Aastveit, Francesco Ravazzolo, Herman van Dijk
Time-varying uncertainty and exchange rate predictability Knut-Are Aastveit, Francesco Ravazzolo, Herman van Dijk - Forecasting with VARs with time-variation in the mean
Marta Bańbura, Andries van Vlodrop
Forecasting with VARs with time-variation in the mean Marta Bańbura, Andries van Vlodrop - Improving model-based near-term GDP forecasts by subjective forecasts: a real-time exercise for the G7 countries
Jos Jansen, Jasper de Winter - Optimal density forecast combinations
Gergely Gánics
Optimal density forecast combinations Gergely Gánics|
Optimal density forecast combinations Gergely Gánics - Nowcasting with large, international data sets: do sparse priors help?
Philipp Hauber, Christan Schumacher
Nowcasting with large, international data sets: do sparse priors help? Philipp Hauber, Christan Schumacher - Forecast uncertainty, disagreement, and linear pools of density forecasts
Malte Knüppel, Fabian Krüger
Forecast uncertainty, disagreement, and linear pools of density forecasts Malte Knüppel, Fabian Krüger - Disaggregate inflation, asymmetry and stochastic heterogeneity
Błażej Mazur - A UK financial conditions index using targeted data reduction: forecasting and structural identification
George Kapetanios, Simon Price, Garry Young
A UK financial conditions index using targeted data reduction: forecasting and structural identification George Kapetanios, Simon Price, Garry Young|
A UK financial conditions index using targeted data reduction: forecasting and structural identification George Kapetanios, Simon Price, Garry Young
Session 7
- Modeling time-varying uncertainty of multiple-horizon forecast errors
Todd E. Clark, Michael W. McCracken, Elmar Mertens
Modeling time-varying uncertainty of multiple-horizon forecast errors Todd E. Clark, Michael W. McCracken, Elmar Mertens|
Modeling time-varying uncertainty of multiple-horizon forecast errors Todd E. Clark, Michael W. McCracken, Elmar Mertens - Bayesian inference for probabilistic surveys
Roberto Casarin, Marco Del Negro, Francesco Ravazzolo