摘要:

AbstractThis paper uses recent advances in time‐series modeling to derive long‐horizon forecasts of commodity price volatility which incorporate investors' expectations of volatility. Our results are promising. We compare several different forecasts of commodity price volatility, which we divide into three categories: (1) forecasts using only expectations derived from options prices; (2) forecasts using only time‐series modeling; and (3) forecasts which combine market expectations and time‐series methods. The forecasts in (1) and (2) are used extensively in the literature, while those in (3) are new in this paper. On comparing these different forecasts, we find that our proposed forecasts from category (3) outperform both market expectations forecasts and time‐series forecasts. This result holds both in and out of sample for virtually all commodities c

ISSN:0277-6693    

DOI:10.1002/for.3980140202

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

摘要:

AbstractThis paper compares the structure of three models for estimating future growth in a time series. It is shown that a regression model gives minimum weight to the last observed growth and maximum weight to the observed growth in the middle of the sample period. A first‐order integrated ARIMA model, or 1(1) model, gives uniform weights to all observed growths. Finally, a second‐order integrated ARIMA model gives maximum weights to the last observed growth and minimum weights to the observed growths at the beginning of the sample period. The forecasting performance of these models is compared using annual output growth rates for seven countr

ISSN:0277-6693    

DOI:10.1002/for.3980140203

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

摘要:

AbstractThis paper reconsiders event study methodology, a very popular technique in the applied finance literature, within the context of testing cumulative prediction errors. It extends the conventional test statistics in two directions. First, it accounts fully for the increased variance of prediction errors outside of the estimation period and for the cumulation of these errors across different event windows. Second, it also takes account of the fact that market model residuals are typically serially correlated, heteroscedastic and non‐normal. The statistics are compared with the conventional approach by reassessing a previous application of the methodology to the impact of management buyout

ISSN:0277-6693    

DOI:10.1002/for.3980140204

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

摘要:

AbstractRecent years have witnessed a growing availability of high‐frequency indicators which can be used to forecast future economic activity. This paper shows how some of the widely known monthly economic indicators at present available in Italy can be used in a systematic and coordinated manner to forecast the main variables of the National Accounts. In order to reduce as much as possible the amount of judgment in the analysis of the business cycle, a model‐based approach is adopted. Thus, a pseudo macro‐econometric model of the Italian economy is built, which can be used to produce forecasts one semester ahead of the last National Accounts data release. The model can be used autonomously as well as in combination with the Bank of Italy's quarterly econometric

ISSN:0277-6693    

DOI:10.1002/for.3980140205

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

摘要:

AbstractMost economic forecast evaluations dating back20years show that professional forecasters add little to the forecasts generated by the simplest of models. Using various types of forecast error criteria, these evaluations usually conclude that the professional forecasts are little better than the no‐change or ARIM A type forecast. It is our contention that this conclusion is mistaken because the conventional error criteria may not capture why forecasts are ma&or how they are used. Using forecast directional accuracy, the criterion which has been found to be highly correlated with profits in an interest rate setting, we find that professionalGNPforecasts dominate the cheaper alternatives. Moreover, there appears to be no systematic relationship between this preferred criterion and the error measures used in previous studie

ISSN:0277-6693    

DOI:10.1002/for.3980140206

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY

ISSN:0277-6693    

DOI:10.1002/for.3980140201

出版商:John Wiley&Sons, Ltd.    

年代:1995

数据来源: WILEY