CReMFi aims at providing leadership in the research and practice of macroeconomic, business, and financial forecasting, including analysis of high frequency financial data.
Our aim is to build forecasting tools that are useful for applied researchers and to develop long term research into the methodology of forecasting.
- (New!) Compare Macro Forecasts website: We are developing a free web based platform to provide access to a wide variety of cutting edge forecasting models. This website allows users to produce point and density forecasts of GDP growth and CPI inflation for a number of countries using different econometric models and provides a comparison of their relative forecasting performance over time. The beta version of Compare Macro Forecasts is available here. Over the next year we will be working to add more forecasting models and to expand the data series covered by the analysis.
- Forecasting research: Team members have recently published papers on a number of aspects of macroeconomic forecasting including forecasting under structural change, forecasting performance of time-varying volatility and non-linear models and forecasting under data revisions. See publications for details and links.
Analysis of High Frequency Finance Data
- New empirical methods for understanding the financial market microstructure by analyzing high frequency transaction data. This strand of research will also focus on developing new methods to measure changes in volatility and economic uncertainty and investigate the impact of these changes on the economy.
Explore our theoretical and empirical papers on forecasting.
CReMFi's Director is Haroon Mumtaz, and George Kapetanios is the Deputy Director.
Browse a list of publications by CReMFi members.