Combination forecasts of output growth in a seven-country data set

Article Abstract:

The output growth in a seven-country (Canada, France, Germany, Italy, Japan, the UK, and US) quarterly economic data set, covering 1959-1999, with up to seventy-three predictors can be forecasted by using the Forecast Combination Method. Combination Forecasts seem to have improved when compared with the Autoregressive forecasts. Even though the constituent forecast has unstable performance, the most successful combination forecasts, like the Mean, seem to be less sensitive to the recent performance of the Individual forecasts. Despite the Success of Simple combination forecasts in many other cases it was difficult to explain that in a stationary environment.

Methods, Economic aspects, Economic forecasting, Macroeconomics, Group of 7, Global economy

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Resuscitating the cobweb cycle

Article Abstract:

Permanent price fluctuations of the 'cobweb type' can be reconciled with rational behavior when interpreting the model in the theory of rational beliefs. The empirically observed phenomenon that agents' forecasts exhibit a high degree of diversity even under identical information is the starting point for the notion of rationality in this theory, which requires only compatibility of the forecast with the historical data. The cobweb cycle offers the simplest example of a rational belief equilibrium that is not a rational expectations equilibrium.

United Kingdom, Analysis, Rational expectations (Economics)

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Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH

Article Abstract:

A nonlinear time series model is proposed for analyzing financial time series, studying the effect of good and bad news on volatility transmission and testing the asymmetries in conditional mean and conditional variance. Index stock returns of the Group of Seven (G7) industrialized countries displays evidence of asymmetries.

Time-series analysis, Time series analysis

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