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Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility

Hol, Eugenie; Koopman, Siem Jan - Tinbergen Instituut - 2000

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

Examining the Nelson-Siegel Class of Term Structure Models

Pooter, Michiel De - Tinbergen Instituut - 2007

forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

Persistent link: https://www.econbiz.de/10011256459

Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max - Tinbergen Instituut - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10011256800

The Stochastic Volatility in Mean Model

Koopman, Siem Jan; Uspensky, Eugenie Hol - Tinbergen Instituut - 2000

In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...

Persistent link: https://www.econbiz.de/10011257033

Likelihood-based Analysis for Dynamic Factor Models

Jungbacker, Borus; Koopman, Siem Jan - Tinbergen Instituut - 2008

We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...

Persistent link: https://www.econbiz.de/10011257194

The Impact of Jumps and Leverage in Forecasting Co-Volatility

Asai, Manabu; McAleer, Michael - Tinbergen Instituut - 2015

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …

Persistent link: https://www.econbiz.de/10011257254

Forecasting Day-Ahead Electricity Prices: Utilizing Hourly Prices

Raviv, Eran; Bouwman, Kees E.; Dijk, Dick van - Tinbergen Instituut - 2013

The daily average price of electricity represents the price of electricity to be delivered over the full next day and serves as a key reference price in the electricity market. It is an aggregate that equals the average of hourly prices for delivery during each of the 24 individual hours. This...

Persistent link: https://www.econbiz.de/10011257447

Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components

Hindrayanto, Irma; Koopman, Siem Jan; Winter, Jasper de - Tinbergen Instituut - 2014

short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …

Persistent link: https://www.econbiz.de/10011257503

Examining the Nelson-Siegel Class of Term Structure Models

Pooter, Michiel De - Tinbergen Institute - 2007

forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

Persistent link: https://www.econbiz.de/10005137361

Likelihood-based Analysis for Dynamic Factor Models

Jungbacker, Borus; Koopman, Siem Jan - Tinbergen Institute - 2008

Persistent link: https://www.econbiz.de/10005137376