This paper compares the out-of-sample forecasting accuracy of five classes of time series models for market shares of the six most important Portuguese car market competitors over different horizons. As representative time series models I employ a random walk with drift (Naive), a univariate ARIMA, a near-VAR and a general BVAR. The out-of-sample forecasts are also compared against forecasts ge...

The performance of active portfolio methods critically depends on the forecasting ability of the security analyst. The Treynor-Black model provides an efficient way of implementing active investment strategy. Despite its potential benefits, the Treynor-Black model appears to have had little impact on the financial community, mainly because it has been believed that the precision threshold of al...

This work studies the large sample properties of the posterior-based inference in the curved exponential family under increasing dimension. The curved structure arises from the imposition of various restrictions on the model, such as moment restrictions, and plays a fundamental role in econometrics and others branches of data analysis. We establish conditions under which the posterior distribut...

Recent models of monetary policy have analyzed the desirability of different optimal and ad hoc interest rules under the restrictive assumption that forecasts of the private sector and the central bank are homogenous. This paper studies the implications of heterogeneity in forecasting by the central bank and private agents for the performance of interest rules in a framework of econometric lear...

This paper presents a small macro-econometric model which is further used topredict inflation and produce different monetary policy simulations concerninginflation targeting in the Czech Republic. The problems connected with inflationtargeting for transition economies are discussed as well as the differentmodelling approaches suitable for policy simulation and inflation fore...

First-reported monthly and quarterly time-series data on nine macroeconomic variables from 1960–1993 are given. Features of this so-called “unrevised” or “first-reported data” are discussed, and the data is compared with standard “fully revised” data using Granger causality tests. For the purposes of real-time forecasting, as well as comparing professional forecasts with traditional econometric...

Research has consistently found that implied volatility is a conditionally biased predictor of realized volatility across asset markets. This paper evaluates explanations for this bias in the market for options on foreign exchange futures. No solution considered—including a model of priced volatility risk—explains the conditional bias found in implied volatility. Further, while implied volatili...

This study investigates whether the direction of U.S. implied volatility, VIX index, can be forecast. Multiple forecasts are generated based on standard econometric models, but, more importantly, several machine learning techniques. Their statistical significance is assessed by a plethora performance evaluation measures, while real-time investment strategies devised to appraise implications und...