Asymmetry in the link between the yield spread and industrial production: threshold effects and forecasting
Article Abstract:
The nonlinear behavior of information content in the spread for future real economic activity is analyzed. Nine production sectors of the United States and four from the United Kingdom are used for the empirical study. The analysis shows that significantly accurate forecasting is possible with linear models.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2004
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Model specification and forecasting foreign exchange rates with vector autoregressions
Article Abstract:
The accuracy of several vector autoregressive models for forecasting foreign exchange rates is evaluated. The forecasting accuracy of these models was not strong.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2001
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Density forecasting in economics and finance
Article Abstract:
Research is presented describing different methods used to estimate predictive density for financial and economic use.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2000
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- Abstracts: Rejoinder. Interpreting the correlation between inflation and the skewness of relative prices: a comment on Bryan and Cecchetti
- Abstracts: Finite sample prediction and interpolation for ARMA models with missing data. Dynamic Harmonic Regression
- Abstracts: Unemployment variation over the business cycles: a comparison of forecasting models