Browsing by author "Pauwels, Laurent"
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Asymptotic Theory for Rotated Multivariate GARCH Models
Asai, Manabu; Chang, Chia-Lin; McAleer, Michael; Pauwels, LaurentPublished 2019-03-20In this paper, we derive the statistical properties of a two step approach to estimating multivariate GARCH rotated BEKK (RBEKK) models. By the definition of rotated BEKK, we estimate the unconditional covariance matrix ...Open AccessWorking Paper -
Do External Political Pressures Affect the Renminbi Exchange Rate?
Pauwels, Laurent; Liu, Li-GangPublished 2011-09-01This paper investigates whether external political pressure for faster renminbi (RMB) appreciation affect both the daily returns and the conditional volatility of the RMB central parity rate. We construct several political ...Open AccessWorking Paper -
Equivalence of optimal forecast combinations under affine constraints
Chan, Felix; Pauwels, LaurentPublished 2019-03-19Forecasts are usually produced from models and expert judgements. The reconciliation of different forecasts presents an interesting challenge for managerial decisions. Mean absolute deviations and mean squared errors scoring ...Open AccessWorking Paper -
Forecast combination for discrete choice models: predicting FOMC monetary policy decisions
Pauwels, Laurent; Vasnev, AndreyPublished 2011-06-01This paper provides a methodology for combining forecasts based on several discrete choice models. This is achieved primarily by combining one-step-ahead probability forecast associated with each model. The paper applies ...Open AccessWorking Paper -
Forecast combination for U.S. recessions with real-time data
Vasnev, Andrey; Pauwels, LaurentPublished 2013-03-01This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S. business cycle index, as published by the Business Cycle Dating Committee of the NBER. It focuses on one-step ahead ...Open AccessWorking Paper -
Forecast combination for U.S. recessions with real-time data
Vasnev, Andrey; Pauwels, LaurentPublished 2013-01-01This paper proposes the use of forecast combination to improve predictive accuracy in forecasting the U.S. business cycle index as published by the Business Cycle Dating Committee of the NBER. It focuses on one-step ahead ...Open AccessWorking Paper -
Fundamental Moments
Imbs, Jean; Pauwels, LaurentPublished 2019-05-08Global trade can give rise to global hubs, centers of activity whose influence on the global economy is large enough that local disturbances have consequences in the aggregate. This paper investigates the nature, existence, ...Open AccessWorking Paper -
Higher Moment Constraints for Predictive Density Combinations
Pauwels, Laurent; Radchenko, Peter; Vasnev, AndreyPublished 2020-05-01The majority of financial data exhibit asymmetry and heavy tails, which makes forecasting the entire density critically important. Recently, a forecast combination methodology has been developed to combine predictive ...Open AccessArticle -
Higher Moment Constraints for Predictive Density Combinations
Pauwels, Laurent; Radchenko, Peter; Vasnev, AndreyPublished 2019-03-19The majority of financial data exhibit asymmetry and heavy tails, which makes forecasting the entire density critically important. Recently, a forecast combina- tion methodology has been developed to combine predictive ...Open AccessWorking Paper -
Practical considerations for optimal weights in density forecast combination
Vasnev, Andrey; Pauwels, LaurentPublished 2013-01-01The problem of finding appropriate weights to combine several density forecasts is an important issue currently debated in the forecast combination literature. Recently, a paper by Hall and Mitchell (IJF, 2007) proposes ...Open AccessWorking Paper -
Predicting China’s Monetary Policy with Forecast Combinations
Pauwels, LaurentPublished 2019-05-14China’s monetary policy is unconventional and constantly evolving as a result of its rapid economic development. This paper proposes to use forecast combinations to predict the People’s Bank of China’s monetary policy ...Open AccessWorking Paper
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