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.

United Kingdom, Analysis

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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.

Administration of General Economic Programs, Economic Statistics & Research, Models, Usage, Prices and rates, Foreign exchange, Foreign exchange rates, Economic conditions, Autoregression (Statistics), Vector analysis

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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.

Functional analysis

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