Showing 1 - 10 of 49
Persistent link: https://www.econbiz.de/10012795224
Persistent link: https://www.econbiz.de/10014322360
Persistent link: https://www.econbiz.de/10014494374
Persistent link: https://www.econbiz.de/10015045196
Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to improve the … forecasting performance. …
Persistent link: https://www.econbiz.de/10010905649
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011272575
In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely the Kilian's index of global real economic activity and the index of OECD...
Persistent link: https://www.econbiz.de/10011277157
returns and intradaily squared returns for forecasting horizons rangingfrom 1 to 10 days. For the daily squared returns we …
Persistent link: https://www.econbiz.de/10011255461
In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector …
Persistent link: https://www.econbiz.de/10011256058
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011256164