Haku
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Predicting relative forecasting performance : An empirical investigation
(08.11.2018)
Bank of Finland Research Discussion Papers 23/2018
Bank of Finland Research Discussion Papers 23/2018
The relative performance of forecasting models changes over time. This empirical observation raises two questions: is the relative performance itself predictable? If so, can it be exploited to improve forecast accuracy? ...
Predicting systemic financial crises with recurrent neural networks
(27.08.2019)
Bank of Finland Research Discussion Papers 14/2019
Bank of Finland Research Discussion Papers 14/2019
We consider predicting systemic financial crises one to five years ahead using recurrent neural networks. The prediction performance is evaluated with the Jorda-Schularick-Taylor dataset, which includes the crisis dates ...
The real effects of overconfidence and fundamental uncertainty shocks
(22.12.2017)
Bank of Finland Research Discussion Papers 37/2017
Bank of Finland Research Discussion Papers 37/2017
This study provides estimates of the real effects of macro-uncertainty de-
composed into fundamental and overconfidence bias components. Crucially,
overconfidence biases lower ex-ante measures of uncertainty, while ...
The Aino 2.0 model
(31.05.2016)
Bank of Finland Research Discussion Papers 16/2016
Bank of Finland Research Discussion Papers 16/2016
This paper presents Aino 2.0 – the dynamic stochastic general equilibrium (DSGE) model currently used at the Bank of Finland for forecasting and policy analysis. The paper provides a detailed theoretical description of the ...
Forecasting stock market returns by summing the frequency-decomposed parts
(28.11.2016)
Bank of Finland Research Discussion Papers 29/2016
Bank of Finland Research Discussion Papers 29/2016
We generalize the Ferreira and Santa-Clara (2011) sum-of-the-parts method for forecasting stock market returns. Rather than summing the parts of stock returns, we suggest summing some of the frequency-decomposed parts. The ...