Forecasting output growth tail risk using quantile regression framework
Autor(a) principal: | |
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Data de Publicação: | 2022 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/156104 |
Resumo: | This thesis examines which financial indicator is the most accurate to model and predict the tail risk of output growth in the euro area. The CISS is more informative than other indicators that only focus on specific segment of the financial market. To capture the tail distribution information, the thesis implements quantile regression, capturing determined quantile of the output growth distribution. The forecast produced with the quantile regression for the 10th and the 5th quantile outperformed the standard OLS model in terms of forecasting evaluation metrics in predicting the 2008 output growth downfall, concluding that the quantile specification, combined with the CISS as financial indicator, improves the modeling and forecasting accuracy of tail risk output growth in the euro area. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Forecasting output growth tail risk using quantile regression frameworkQuantile regressionGrowth at riskMacro-financial linkagesTime seriesDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis thesis examines which financial indicator is the most accurate to model and predict the tail risk of output growth in the euro area. The CISS is more informative than other indicators that only focus on specific segment of the financial market. To capture the tail distribution information, the thesis implements quantile regression, capturing determined quantile of the output growth distribution. The forecast produced with the quantile regression for the 10th and the 5th quantile outperformed the standard OLS model in terms of forecasting evaluation metrics in predicting the 2008 output growth downfall, concluding that the quantile specification, combined with the CISS as financial indicator, improves the modeling and forecasting accuracy of tail risk output growth in the euro area.Rodrigues, Paulo Manuel MarquesRUNQuattrini, Filippo2023-08-01T13:44:12Z2023-01-132022-12-162023-01-13T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/156104TID:203311051enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-05-22T18:13:32Zoai:run.unl.pt:10362/156104Portal AgregadorONGhttps://www.rcaap.pt/oai/openairemluisa.alvim@gmail.comopendoar:71602024-05-22T18:13:32Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Forecasting output growth tail risk using quantile regression framework |
title |
Forecasting output growth tail risk using quantile regression framework |
spellingShingle |
Forecasting output growth tail risk using quantile regression framework Quattrini, Filippo Quantile regression Growth at risk Macro-financial linkages Time series Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Forecasting output growth tail risk using quantile regression framework |
title_full |
Forecasting output growth tail risk using quantile regression framework |
title_fullStr |
Forecasting output growth tail risk using quantile regression framework |
title_full_unstemmed |
Forecasting output growth tail risk using quantile regression framework |
title_sort |
Forecasting output growth tail risk using quantile regression framework |
author |
Quattrini, Filippo |
author_facet |
Quattrini, Filippo |
author_role |
author |
dc.contributor.none.fl_str_mv |
Rodrigues, Paulo Manuel Marques RUN |
dc.contributor.author.fl_str_mv |
Quattrini, Filippo |
dc.subject.por.fl_str_mv |
Quantile regression Growth at risk Macro-financial linkages Time series Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Quantile regression Growth at risk Macro-financial linkages Time series Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
This thesis examines which financial indicator is the most accurate to model and predict the tail risk of output growth in the euro area. The CISS is more informative than other indicators that only focus on specific segment of the financial market. To capture the tail distribution information, the thesis implements quantile regression, capturing determined quantile of the output growth distribution. The forecast produced with the quantile regression for the 10th and the 5th quantile outperformed the standard OLS model in terms of forecasting evaluation metrics in predicting the 2008 output growth downfall, concluding that the quantile specification, combined with the CISS as financial indicator, improves the modeling and forecasting accuracy of tail risk output growth in the euro area. |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022-12-16 2023-08-01T13:44:12Z 2023-01-13 2023-01-13T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10362/156104 TID:203311051 |
url |
http://hdl.handle.net/10362/156104 |
identifier_str_mv |
TID:203311051 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
mluisa.alvim@gmail.com |
_version_ |
1817545948478308352 |