Arbeitspapier
Forecast combination in the frequency domain
Predictability is time and frequency dependent. We propose a new forecasting method - forecast combination in the frequency domain - that takes this fact into account. With this method we forecast the equity premium and real GDP growth rate. Combining forecasts in the frequency domain produces markedly more accurate predictions relative to the standard forecast combination in the time domain, both in terms of statistical and economic measures of out-of-sample predictability. In a real-time forecasting exercise, the flexibility of this method allows to capture remarkably well the sudden and abrupt drops associated with recessions and further improve predictability.
- Sprache
-
Englisch
- ISBN
-
978-952-323-430-7
- Erschienen in
-
Series: Bank of Finland Research Discussion Papers ; No. 1/2023
- Klassifikation
-
Wirtschaft
Financial Econometrics
Portfolio Choice; Investment Decisions
Financial Forecasting and Simulation
- Thema
-
forecast combination
frequency domain
equity premium
GDP growth
Haar filter
wavelets
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Faria, Gonçalo
Verona, Fabio
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
2023
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:24 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Faria, Gonçalo
- Verona, Fabio
- Bank of Finland
Entstanden
- 2023
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