Machine Learning Approaches to Forecast the Realized Volatility of Crude Oil Prices
Journal of Forecasting, EarlyView.ABSTRACT This paper presents an evaluation of the accuracy of machine learning (ML) techniques in forecasting the realized volatility of West Texas Intermediate (WTI) crude oil prices. We compare several ML algorithms, including regularization, regression trees, random forests, and neural networks, to several heterogeneous autoregressive (HAR) models ...
Talha Omer +3 more
wiley +1 more source
GPT-4 shows comparable performance to human examiners in ranking open-text answers. [PDF]
Sci RepZubaer AA +4 more
europepmc +1 more source
The macroeconomics of financial crises: How risk premiums, liquidity traps and perfect traps affect policy options [PDF]
The paper shows that structural models of the IS-LM and Mundell-Fleming variety have a lot to tell about the macroeconomics of the current global crisis.
Florian Jung, Manfred Gärtner
core
A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios
Journal of Forecasting, EarlyView.ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley +1 more source
Mental health and macroeconomics: economic and social determinants that explain suicide in Ecuador. [PDF]
Front Public HealthArgothy A +3 more
europepmc +1 more source
Optimal Monetary Policy in an Interdependent World [PDF]
In the literature on international monetary policy, the paradigm is that gains from coordination are fairly small. Monetary policy is conducted to stabilize macroeconomic fluctuations and gains from policy coordination arise from preventing national ...
Michael Evers
core
Forecasting House Prices: The Role of Market Interconnectedness
Journal of Forecasting, EarlyView.ABSTRACT While the existing research uncovers interconnections between various housing markets, it largely ignores the question of whether such linkages can improve house price predictions. To address this issue, we proceed in two steps. First, we forecast disaggregated house price growth rates from Australia and China to determine whether ...
Zac Chen +3 more
wiley +1 more source
The global persistence of work from home. [PDF]
Proc Natl Acad Sci U S AAksoy CG +5 more
europepmc +1 more source
Regime‐Dependent Nowcasting of the Austrian Economy
Journal of Forecasting, EarlyView.ABSTRACT We nowcast and forecast economic activity in Austria, namely, real gross domestic product (GDP), consumption, and investment, which are available at a quarterly frequency, using a preselected number of monthly indicators based on a combination of statistical procedures.
Jaroslava Hlouskova, Ines Fortin
wiley +1 more source
Making cigarette taxes more effective in Mozambique: A simulation analysis using the Tobacco Excise Tax Simulation Model (TETSiM). [PDF]
PLoS OneDarsamo V +3 more
europepmc +1 more source