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CARLO AMBROGIO FAVERO

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MBA 2021:FORECASTING


This Lecture provides an overview of Forecasting Methods. 

1.Macroeconomic and Financial Forecasting : the main issues 
1.1 short horizon and long-horizon 
1.2 cycles and trends 

2. Macroeconomic and Financial Forecasting : the main methods
2.1 Survey based methods 
2.2 Asset prices based methods 
2.3 Model based methods
2.3.1 Reduced Form Methods
-Supervised Machine Learning 
-Shrinkage Methods and Model Averaging 
2.3.2 Stuctural Form Methods 
-The modelling approach
- A structural epidemiological model:the SEIR model

SLIDES

Suggested Readings:  

James G., D. Witten, T. Hastie and Tibshirani(2019) "An Introduction to Statistical Learning", Springer-Verlag  Ch. 1-2 
Elliot G. and A. Timmermann(2016) "Economic Forecasting" (2016), Princeton University Press, Ch.1-2
Fouliard J., M.Howell and H.Rey (2019) "Answering the Queen:Online Machine Learning and Financial Crises", slides

A useful website for SEIR models:
https://gabgoh.github.io/COVID/index.html

Ultimo aggiornamento 15/01/2021



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