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.
- Language
-
Englisch
- ISBN
-
978-952-323-430-7
- Bibliographic citation
-
Series: Bank of Finland Research Discussion Papers ; No. 1/2023
- Classification
-
Wirtschaft
Financial Econometrics
Portfolio Choice; Investment Decisions
Financial Forecasting and Simulation
- Subject
-
forecast combination
frequency domain
equity premium
GDP growth
Haar filter
wavelets
- Event
-
Geistige Schöpfung
- (who)
-
Faria, Gonçalo
Verona, Fabio
- Event
-
Veröffentlichung
- (who)
-
Bank of Finland
- (where)
-
Helsinki
- (when)
-
2023
- Handle
- Last update
-
20.09.2024, 8:24 AM CEST
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Faria, Gonçalo
- Verona, Fabio
- Bank of Finland
Time of origin
- 2023
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