In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely ...

This paper compares alternative univariate versus multivariate models, probabilistic versus Bayesian autoregressive and vector autoregressive specifications for hourly day-ahead electricity prices, with and without ...

This paper studies the predictability of cryptocurrencies time series. We compare several alternative univariate and multivariate models in point and density forecasting of four of the most capitalized series: Bitcoin, ...

A long strand of literature has shown that the world has become more global. Yet, the recent Great Global Recession turned out to be hard to predict, with forecasters across the world committing large forecast errors. ...

Interactions between eurozone and United States booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model. The model is well suitable for a multi-country cyclical ...

The paper introduces a new dynamic panel model for large data sets of time series, each of them characterized by a series-specific Markov switching process. By introducing a neighbourhood system based on a network ...

We analyse fiscal policy responses in oil rich countries by developing a Bayesian regime-switching panel country analysis. We use parameter restrictions to identify procyclical and countercyclical fiscal policy regimes ...

In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such ...

We extend the density combination approach of Billio et al. (2013) to feature combination weights that depend on the past forecasting performance of the individual models entering the combination through a utility-based ...

This paper proposes a novel asymmetric continuous probabilistic score (ACPS) for evaluating and comparing density forecasts. It extends the proposed score and defines a weighted version, which emphasizes regions of interest, ...