Beating the VAR: Improving Swedish GDP Forecasts Using Error and Intercept Corrections

This paper examines the forecast accuracy of an unrestricted vector autoregressive (VAR) model for GDP, relative to a comparable vector error correction model (VECM) that recognizes that the data are characterized by co‐integration. In addition, an alternative forecast method, intercept correction, is considered for further comparison. Recursive out‐of‐sample forecasts are generated for both models and forecast techniques. The generated forecasts for each model are objectively evaluated by a selection of evaluation measures and equal accuracy tests. The result shows that the VECM consistently outperforms the VAR models. Further, intercept correction enhances the forecast accuracy when applied to the VECM, whereas there is no such indication when applied to the VAR model. For certain forecast horizons there is a significant difference in forecast ability between the intercept corrected VECM compared to the VAR model. Copyright © 2015 John Wiley & Sons, Ltd.     

How Informative are the Subjective Density Forecasts of Macroeconomists?

In this paper, we propose a framework to evaluate the subjective density forecasts of macroeconomists using micro data from the euro area Survey of Professional Forecasters (SPF). A key aspect of our analysis is the use of evaluation measures which take account of the entire predictive densities, and not just the probability assigned to the outcome that occurs. Overall, we find considerable heterogeneity in the performance of the surveyed densities at the individual level. However, it is hard to exploit this heterogeneity and improve aggregate performance by trimming poorly performing forecasters in real time. Relative to a set of simple benchmarks, density performance is somewhat better for GDP growth than for inflation, although in the former case it diminishes substantially with the forecast horizon. In addition, we report evidence of an improvement in the relative performance of expert densities during the recent period of macroeconomic volatility. However, our analysis also reveals clear evidence of overconfidence or neglected risks in expert probability assessments, as reflected in frequent occurrences of events which are assigned a zero probability. Copyright © 2014 John Wiley & Sons, Ltd.     

A Neuro‐wavelet Model for the Short‐Term Forecasting of High‐Frequency Time Series of Stock Returns

We propose a wavelet neural network (neuro‐wavelet) model for the short‐term forecast of stock returns from high‐frequency financial data. The proposed hybrid model combines the capability of wavelets and neural networks to capture non‐stationary nonlinear attributes embedded in financial time series. A comparison study was performed on the predictive power of two econometric models and four recurrent neural network topologies. Several statistical measures were applied to the predictions and standard errors to evaluate the performance of all models. A Jordan net that used as input the coefficients resulting from a non‐decimated wavelet‐based multi‐resolution decomposition of an exogenous signal showed a consistent superior forecasting performance. Reasonable forecasting accuracy for the one‐, three‐ and five step‐ahead horizons was achieved by the proposed model. The procedure used to build the neuro‐wavelet model is reusable and can be applied to any high‐frequency financial series to specify the model characteristics associated with that particular series. Copyright © 2013 John Wiley & Sons, Ltd.     

Forecasting VaR models under Different Volatility Processes and Distributions of Return Innovations

This paper provides clear‐cut evidence that the out‐of‐sample VaR (value‐at‐risk) forecasting performance of alternative parametric volatility models, like EGARCH (exponential general autoregressive conditional heteroskedasticity) or GARCH, and Markov regime‐switching models, can be considerably improved if they are combined with skewed distributions of asset return innovations. The performance of these models is found to be similar to that of the EVT (extreme value theory) approach. The performance of the latter approach can also be improved if asset return innovations are assumed to be skewed distributed. The performance of the Markov regime‐switching model is considerably improved if this model allows for EGARCH effects, for all different volatility regimes considered. Copyright © 2014 John Wiley & Sons, Ltd.     

Orb‐web spiders (Araneae: Araneomorphae; Orbiculariae) captured by hunting‐wasps (Hymenoptera: Sphecidae) in an area of Atlantic Forest in south‐eastern Brazil

Members of two hunting‐wasp families, Pompilidae and Sphecidae, are among the major predators of orb‐web spiders. In this study, we collected paralysed spiders from natural nests and trap‐nests provisioned by sphecids in an area of Brazilian Atlantic Forest, and compared these data with the composition of species collected by visual searching during one year. Prey preferences were analysed based on the relative abundance of spider species, their size and web characteristics. We also compiled a list of orb‐weavers captured by four sphecid genera reported in 40 other studies. A large number of prey was obtained from natural nests of Trypoxylon (Trypargilum) albonigrum in Parque Estadual Intervales, especially species of Eustala, Parawixia, and Araneus (Araneidae). Other prey, stored in trap‐nests by T. lactitarse and unidentified hunting‐wasp species, included Nephila (Tetragnathidae), Parawixia, Ocrepeira, Mecynogea, Acacesia (Araneidae), and other spider species that were less abundant. All the species that were heavily preyed upon had a relatively lower abundance in our samples of prey availability. The range of body sizes of spiders captured by Trypoxylon in our study area include the size of some abundant orb‐weavers always absent in their nests. These results indicate that factors other than abundance in the field and the spider's size influence prey selection or susceptibility to attack.     

Three new species of free‐living marine nematodes from the Bohai Sea and Yellow Sea,China

Three new species of marine nematodes belonging to the genera Paranticoma (family Anticomidae) and Parodontophora (family Axonolaimidae) are described from the Bohai Sea and Yellow Sea. Paranticoma tricerviseta sp. nov. is similar to P. bandaenseMicoletzky and Kreis, in the spicules, but can be distinguished by the presence of a ventral projection on the spicules, three regularly arranged cervical setae in both the male and female, and two distinct ventral setae behind the anus. Parodontophora deltensis sp. nov. is close to P. paragranulifera (Timm, ) in the length of the amphids, with the ventral arm of the amphid extending past the base of the stoma, but can be separated by the ratio of dorsal arm length to ventral arm (0.36–0.55 versus 0.20–0.25) and the position of the excretory pore (at the middle level versus top level of the stoma), distinctive cervical setae arrangement and a longer renette cell. Parodontophora wuleidaowanensis sp. nov. is close to P. danker Belogurov and Kartavtseva, in the form of the amphids, but can be distinguished by the longer length of the ventral arm of the amphids and the distinctive arrangement of cervical setae.     

Radiolarians from the British North‐Polar Expedition (1875–1876): re‐examination of the H. B. Brady (1878) collection

The earliest report on radiolarians from the Arctic Ocean (north of the Arctic Circle) was provided by H. B. Brady (1878 Brady, H. B. 1878. On the reticularian and radiolarian Rhizopoda (Foraminifera and Polycystina) of the North‐Polar Expedition of 1875–76.. Annals and Magazine of Natural History, Series 5, 1: 425–440. [Taylor & Francis Online] , [Google Scholar]). He documented the occurrences of 10 genera from soundings in northern Baffin Bay and north of Greenland, but he did not illustrate any specimens in his report. We have re‐examined Brady's original slide collection, housed at the Natural History Museum, London (NHM), in order to refine his radiolarian identifications to species level. We have identified 11 radiolarian taxa in his slides, but some are definitely more characteristic of tropical oceans rather than high northern latitudes. We conclude that this is most likely due to sample contamination or misidentification of samples. Therefore, the actual occurrence of tropically affiliated radiolarians recorded from the Arctic is uncertain and should be regarded with suspicion.     

Price–Dividend Ratios and Stock Price Predictability

A long‐standing puzzle to financial economists is the difficulty of outperforming the benchmark random walk model in out‐of‐sample contests. Using data from the USA over the period of 1872–2007, this paper re‐examines the out‐of‐sample predictability of real stock prices based on price–dividend (PD) ratios. The current research focuses on the significance of the time‐varying mean and nonlinear dynamics of PD ratios in the empirical analysis. Empirical results support the proposed nonlinear model of the PD ratio and the stationarity of the trend‐adjusted PD ratio. Furthermore, this paper rejects the non‐predictability hypothesis of stock prices statistically based on in‐ and out‐of‐sample tests and economically based on the criteria of expected real return per unit of risk. Copyright © 2011 John Wiley & Sons, Ltd.