Using factor based approaches, we investigate a return and volatility forecasting procedure that exploits all the available information by still keeping the econometric framework at considerable size. Our findings demonstrate that factor based approaches provide substantial gains when predicting the sign of the excess returns and state of the volatility separately as well as jointly. A striking...

We start by discussing some general weaknesses and limitations of the econometric approach. A template from sociology is used to formulate six laws that characterize mainstream activities of econometrics and the scientific limits of those activities. Next, we discuss some proximity theorems that quantify by means of explicit bounds how close we can get to the generating mechanism of the data an...

The paper considers the forecasting of the euro/Polish złoty (EUR/PLN) spot exchange rate by applying state space wavelet network and econometric forecast combination models. Both prediction methods are applied to produce one-trading-dayahead forecasts of the EUR/PLN exchange rate. The paper presents the general state space wavelet network and forecast combination models as well as their underl...

The study attempts to fill a gap in Malaysian forestry economics, an area relatively less probed compared to the other important primary commodities of Malaysia. The core of the thesis are two econometric studies. The first concerns estimating supply and demand elasticities of the three main Malaysian wood products sawlogs, sawnwood and plywood. Demand is split up into export and home demand to...

Recent strong growth of China’s exports has elevated the country to a rising global economic power and caused geo-political concern to policy-makers in the country and its trading partners world-wide. What are the determinants of this growth, how has it affected major economies in ASEAN (World Bank, 2009) in particular, and what kind of evidence-based responses are required and appropriate? The...

We investigate the econometric properties of the Federal Reserve Greenbook forecasts with an integrated real-time database of U.S. macroeconomic data that more precisely characterizes the information sets available to Fed policy makers in advance of the Open Market Committee meetings. Our data set associates historical vintages of NIPA and labor market data with the exact dates of the Greenbook...