Výsledky vyhledávání - "Claudia Foroni"

Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis

Autor: Claudia Foroni, Massimiliano Marcellino, Dalibor Stevanovic

Publikováno v: International Journal of Forecasting

We consider simple methods to improve the growth nowcasts and forecasts obtained by mixed-frequency MIDAS and UMIDAS models with a variety of indicators during the Covid-19 crisis and recovery period, such as combining forecasts across various specif

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2f0d22de9cff08d60a712beac4d0dab0
https://doi.org/10.2139/ssrn.3696728

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Using low frequency information for predicting high frequency variables

Autor: Massimiliano Marcellino, Pierre Guérin, Claudia Foroni

Publikováno v: International Journal of Forecasting. 34:774-787

We analyze ways of incorporating low frequency information into models for the prediction of high frequency variables. In doing so, we consider the two existing versions of the mixed frequency VAR, with a focus on the forecasts for the high frequency

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::075593a2342c9ec49cb67b4560796ede
https://doi.org/10.1016/j.ijforecast.2018.06.004

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Assessing the predictive ability of sovereign default risk on exchange rate returns

Autor: Claudia Foroni, Barbara Sadaba, Francesco Ravazzolo

Publikováno v: Journal of International Money and Finance. 81:242-264

Increased sovereign credit risk is often associated with sharp currency movements. Therefore, expectations of the probability of a sovereign default event can convey important information regarding future movements of exchange rates. In this paper, w

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::1ee53e405fa748118b29fee87610b293
https://doi.org/10.1016/j.jimonfin.2017.12.001

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