Central Bank Research Hub - JEL classification C53: Forecasting and Prediction Methods; Simulation Methods

Title Author(s)

Markov-switching three-pass regression filter

Bank of Spain Working Papers [View] (Paper: 1748, 28.12.2017)

JEL: C22, C23, C53

Should one follow movements in the oil price or in money supply? Forecasting quarterly GDP growth in Russia with higher-frequency indicators

Bank of Finland BOFIT Discussion Papers [View] (Paper: 19/2017, 30.11.2017)

JEL: C53, E27

Macroeconomic nowcasting and forecasting with big data

New York Fed Staff reports [View] (Paper: 830, 21.11.2017)

JEL: C32, C53, C55, E32

On the Tail Risk Premium in the Oil Market

Bank of Canada Working papers [View] (Paper: 17-46, 20.11.2017)

JEL: C53, C58, D84, E44, G12, G13, Q43

Residential investment and recession predictability

Central Bank of Norway (Norges Bank) Working Papers [View] (Paper: 24/2017, 16.11.2017)

JEL: C33, C53, E32, E37

Common factors of commodity prices

European Central Bank Working papers [View] (Paper: 2112, 16.11.2017)

JEL: C51, C53, Q02

Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression

Central Bank of Brazil Working Papers [View] (Paper: 466, 07.11.2017)

JEL: C14, C22, C53, F31, G17

What's the Story? A New Perspective on the Value of Economic Forecasts

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2017-107, 04.11.2017)

JEL: C53, E17, E27, E37, E52, G40

Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter

Cleveland Fed Working papers [View] (Paper: 1717, 03.11.2017)

JEL: C12, C22, C52, C53

The information content in the offshore Renminbi foreign-exchange option market : Analytics and implied USD/CNH densities

Bank of Finland BOFIT Discussion Papers [View] (Paper: 15/2017, 01.11.2017)

JEL: C53, F31, F37

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