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McAleer, Michael; Chan, Felix; Oxley, Les - Institute of Economic Research, Kyoto University - 2013

underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …

Persistent link: https://www.econbiz.de/10010860080

Asymmetric Realized Volatility Risk

Allen, David Edmund; McAleer, Michael; Scharth, Marcel - Facultad de Ciencias Económicas y Empresariales, … - 2014

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

Persistent link: https://www.econbiz.de/10010862570

Have standard VARs remained stable since the crisis?

Aastveit, Knut Are; Carriero, Andrea; Clark, Todd E.; … - Norges Bank - 2014

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

Asymmetric Realized Volatility Risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2014

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

Persistent link: https://www.econbiz.de/10011272575

The Impact of Jumps and Leverage in Forecasting Co-Volatility

Asai, Manabu; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 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/10011272957

The Impact of Jumps and Leverage in Forecasting Co-Volatility

Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2015

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

Persistent link: https://www.econbiz.de/10011274348

Realized Volatility Risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2013

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

Persistent link: https://www.econbiz.de/10011256164

Tests of equal forecast accuracy for overlapping models

Clark, Todd E.; McCracken, Michael W. - Federal Reserve Bank of St. Louis - 2011

subset of variables common to the larger sets of variables included in the competing forecasting models. We consider an out … comparing the predictive content of credit spreads to growth in real stock prices for forecasting U.S. real GDP growth. …

Persistent link: https://www.econbiz.de/10009320681

Advances in forecast evaluation

Clark, Todd E.; McCracken, Michael W. - Federal Reserve Bank of St. Louis - 2011

This paper surveys recent developments in the evaluation of point forecasts. Taking West's (2006) survey as a starting point, we briefly cover the state of the literature as of the time of West's writing. We then focus on recent developments, including advancements in the evaluation of forecasts...

Persistent link: https://www.econbiz.de/10009320682

A Bayesian evaluation of alternative models of trend inflation

Clark, Todd E.; Doh, Taeyoung - Federal Reserve Bank of Cleveland - 2011

and forecasting, we specify a range of models of inflation, including: AR with constant trend; AR with trend equal to last …

Persistent link: https://www.econbiz.de/10009416058