Shaun P. Vahey

University of Warwick - Warwick Business School

Coventry CV4 7AL

United Kingdom

SCHOLARLY PAPERS

5

DOWNLOADS

150

CITATIONS

4

Scholarly Papers (5)

1.

Asymmetric Forecast Densities for U.S. Macroeconomic Variables from a Gaussian Copula Model of Cross-Sectional and Serial Dependence

Number of pages: 56 Posted: 30 Mar 2015
Michael S. Smith and Shaun P. Vahey
University of Melbourne - Melbourne Business School and University of Warwick - Warwick Business School
Downloads 104 (256,522)
Citation 4

Abstract:

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Copula Multivariate Time Series Model, Gaussian Copula, Real-Time Density Forecasting, Survey of Professional Forecasters, Vine Copula

2.

Assessing the Economic Value of Probabilistic Forecasts in the Presence of an Inflation Target

CAMA Working Paper No. 40/2016
Number of pages: 45 Posted: 29 Jun 2016
Reserve Bank of New Zealand, University of Cardiff, University of Warwick - Warwick Business School and University of East Anglia (UEA) - School of Economic and Social Studies
Downloads 24 (495,861)

Abstract:

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Forecasting inflation, Inflation targeting, Cost-loss ratio, Forecast evaluation, Monetary policy

3.

Real-Time Forecast Combinations for the Oil Price

CAMA Working Paper No. 38/2018
Number of pages: 18 Posted: 07 Aug 2018
Anthony Garratt, Shaun P. Vahey and Yunyi Zhang
University of Warwick, University of Warwick - Warwick Business School and University of Warwick
Downloads 12 (566,154)

Abstract:

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Real oil price forecasting, Brent crude oil, Forecast combination

4.

Improved Methods for Combining Point Forecasts for An Asymmetrically Distributed Variable

CAMA Working Paper No. 15/2019
Number of pages: 75 Posted: 13 Feb 2019
Özer Karagedikli, Shaun P. Vahey and Liz Wakerly
South East Asian Central Banks (SEACEN) Research and Training Centre, University of Warwick - Warwick Business School and Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)
Downloads 7 (597,582)

Abstract:

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Forecast combination, Copula modelling, Interest rates, Vulnerable economic growth

5.

Empirically-Transformed Linear Opinion Pools

CAMA Working Paper No. 47/2019
Number of pages: 46 Posted: 01 Jul 2019
Anthony Garratt, Timo Henckel and Shaun P. Vahey
University of Warwick, Australian National University (Centre for Applied Macroeconomic Analysis) and University of Warwick - Warwick Business School
Downloads 3 (625,684)

Abstract:

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forecast density combination, Smirnov transform, inflation