Similar Search Results

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

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

Forecasting Market Shares from Models for Sales

Franses, Philip Hans; Fok, Fok, D. - Erasmus Research Institute of Management (ERIM), … - 2000

Dividing forecasts of brand sales by a forecast of category sales, when they are generated from brand specific sales-response models, renders biased forecasts of the brands' market shares. In this paper we therefore propose an easy-to-apply simulation-based method which results in unbiased...

Persistent link: https://www.econbiz.de/10010837695

Experts' adjustment to model-based forecasts: Does the forecast horizon matter?

Franses, Philip Hans; Legerstee, Legerstee, R. - Faculteit der Economische Wetenschappen, Erasmus … - 2007

Experts may have domain-specific knowledge that is not included in a statistical model and that can improve forecasts. While one-step-ahead forecasts address the conditional mean of the variable, model-based forecasts for longer horizons have a tendency to convert to the unconditional mean of a...

Persistent link: https://www.econbiz.de/10010837737

A multivariate STAR analysis of the relationship between money and output

van Dijk, Dick; Franses, Philip Hans; Rothman, P. - Faculteit der Economische Wetenschappen, Erasmus … - 1999

-of-sample forecasting exercise to study money-income Granger causality, both linear and nonlinear, we believe is new to the literature. The … forecasting results do not suggest that money is nonlinearly Granger causal for output. In fact, they show that by allowing money … to nonlinearly Granger cause output, the forecasting performance of the STVECM is significantly worsened. …

Persistent link: https://www.econbiz.de/10010837854

Forecasting 1 to h steps ahead using partial least squares.

Franses, Philip Hans - Faculteit der Economische Wetenschappen, Erasmus … - 2006

(p) model for all forecast horizons and different AR models for different horizons. Representation, estimation and forecasting …

Persistent link: https://www.econbiz.de/10010837899