Browsing BI Research Centre's Series by Subject "Forecasting"
Now showing items 1-10 of 10
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A New Monthly Indicator of Global Real Economic Activity
(CAMP Working Papers Series;2/2015, Working paper, 2015)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 ... -
Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration
(CAMP Working Paper Series;2, Working paper, 2018-01)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 ... -
Does forecast combination improve Norges Bank inflation forecasts?
(CAMAR Working Paper Series;2/2010, Working paper, 2010)We develop a system that provides model-based forecasts for inflation in Norway. We recursively evaluate quasi out-of-sample forecasts from a large suite of models from 1999 to 2009. The performance of the models are then ... -
Forecasting Cryptocurrencies Financial Time Series
(CAMP Working Paper Series;5, Working paper, 2018-03)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, ... -
Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach
(CAMP Working Paper Series;11/2019, Working paper, 2019-12)This paper focuses on forecasting quarterly energy prices of commodities, such as oil, gas and coal, using the Global VAR dataset proposed by Mohaddes and Raissi (2018). This dataset includes a number of potentially ... -
Forecasting oil and gas Prices: A Model Combination Approach
(CAMP Working Paper Series;08/2024, Working paper, 2024-12-31)This paper advances energy price forecasting by extending state-of-the-art econometric models for oil markets to address the distinct characteristics of fragmented natural gas markets. Using a forecast combination framework, ... -
Large Time-Varying Volatility Models for Electricity Prices
(CAMP Working Paper Series;05/2020, Working paper, 2020-07-02)We study the importance of time-varying volatility in modelling hourly electricity prices when fundamental drivers are included in the estimation. This allows us to contribute to the literature of large Bayesian VARs by ... -
News media vs. FRED-MD for macroeconomic forecasting
(CAMP Working Paper Series;08/2020, Working paper, 2020-10-08)Using a unique dataset of 22.5 million news articles from the Dow Jones Newswires Archive, we perform an in depth real-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer ... -
Risky news and credit market sentiment
(CAMP Working Paper Series;14/2023, Working paper, 2023-12-14)The nonlinear nexus between financial conditions indicators and the conditional distribution of GDP growth has recently been challenged. We show how one can use textual economic news combined with a shallow Neural Network ... -
Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts
(CAMP Working Paper Series;8/2015, Working paper, 2015)This paper shows entropic tilting to be a flexible and powerful tool for combining mediumterm forecasts from BVARs with short-term forecasts from other sources (nowcasts from either surveys or other models). Tilting ...