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Workshop on Forecasting

08.09.2017 - 09.09.2017
Deutsche Bundesbank
Taunusanlage  5
60329 Frankfurt am Main

Session 1

  • The global component of inflation volatility
    Andrea Carriero, Francesco Corsello, Massimiliano Marcellino
  • Composite likelihood methods for large Bayesian VARs with stochastic volatility
    Joshua Chan, Eric Eisenstat, Chenghan Hou, Gary Koop
      Presentation (PDF, 243 KB)    |   Paper (PDF, 346 KB)

Session 2

  • Forecasting with many predictors using message passing
    Dimitris Korobilis
  • Big data analytics in economics: What have we learned so far, and where should we go from here?
    Norman Swanson, Weiqi Xiong
      Presentation (PDF, 3 MB)    |   Paper (PDF, 762 KB)

Poster Session 1

  • Order invariant tests for proper calibration of multivariate density forecasts
    Jonas Dovern, Hans Manner
      Poster (PDF, 598 KB)
  • Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov switching model
    Roberto Casarin, Claudia Foroni, Massimiliano Marcellino, Francesco Ravazzolo
      Poster (PDF, 121 KB)
  • Large mixed-frequency VARs with a parsimonious time-varying parameter structure
    Thomas Götz, Klemens Hauzenberger
      Poster (PDF, 268 KB)
  • Focusing on regions of interest in forecast evaluation
    Hajo Holzmann, Bernhard Klar
      Poster (PDF, 215 KB)    |   Paper (PDF, 395 KB)
  • Probabilistic forecasting and comparative model assessment based on Markov chain Monte Carlo output
    Fabian Krüger, Sebastian Lerch, Thordis L. Thorarinsdottir, Tilmann Gneiting
      Poster (PDF, 561 KB)    |   Paper (PDF, 549 KB)
  • A severity function approach to scenario selection
    Frieder Mokinski
      Poster (PDF, 362 KB)
  • Probability forecasts of deflation for the Euro area and Japan: an evaluation using scoring rules for binary outcomes.
    Inske Pirschel, Christian Schumacher
      Poster (PDF, 176 KB)

Session 3

Session 4

  • Time-varying combinations of Bayesian dynamic models and equity momentum strategies
    Nalan Baştürk, Stefano Grassi, Lennart Hoogerheide, Herman K. van Dijk
      Presentation (PDF, 3 MB)    |   Paper (PDF, 3 MB)
  • Data revisions and real-time probabilistic forecasting of macroeconomic variables
    Michael P. Clements, Ana Beatriz Galvao

Session 5

Session 6

  • An empirical investigation of direct and iterated multistep approaches to producing conditional forecasts
    Michael W. McCracken, Joseph McGillicuddy
      Presentation (PDF, 230 KB)  
  • Censoring and fat tails on the monetary policy committee
    James Mitchell, Martin Weale

Poster Session 2

  • Time-varying uncertainty and exchange rate predictability
    Knut-Are Aastveit, Francesco Ravazzolo, Herman van Dijk
      Poster (PDF, 1 MB)
  • Forecasting with VARs with time-variation in the mean
    Marta Bańbura, Andries van Vlodrop
      Poster (PDF, 258 KB)
  • Improving model-based near-term GDP forecasts by subjective forecasts: a real-time exercise for the G7 countries
    Jos Jansen, Jasper de Winter
  • Optimal density forecast combinations
    Gergely Gánics
      Poster (PDF, 973 KB)    |   Paper (PDF, 8 MB)
  • Nowcasting with large, international data sets: do sparse priors help?
    Philipp Hauber, Christan Schumacher
      Poster (PDF, 156 KB)
  • Forecast uncertainty, disagreement, and linear pools of density forecasts
    Malte Knüppel, Fabian Krüger
      Poster (PDF, 760 KB)
  • Disaggregate inflation, asymmetry and stochastic heterogeneity
    Błażej Mazur
  • A UK financial conditions index using targeted data reduction: forecasting and structural identification
    George Kapetanios, Simon Price, Garry Young
      Poster (PDF, 557 KB)    |   Paper (PDF, 553 KB)

Session 7

  • Modeling time-varying uncertainty of multiple-horizon forecast errors
    Todd E. Clark, Michael W. McCracken, Elmar Mertens
      Presentation (PDF, 350 KB)    |   Paper (PDF, 1 MB)
  • Bayesian inference for probabilistic surveys
    Roberto Casarin, Marco Del Negro, Francesco Ravazzolo

Additional information

Conferences section

Conference documents


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Conferences section