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Modelling and Simulation: An Overview
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
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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
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A new index of financial conditions
Koop, Gary; Korobilis, Dimitris - Department of Economics, Adam Smith Business School
We use factor augmented vector autoregressive models with time-varying coe¢ cients to construct a …nancial conditions index. The time-variation in the parameters allows for the weights attached to each …nancial variable in the index to evolve over time. Furthermore, we develop methods for...
Persistent link: https://www.econbiz.de/10011019232
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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
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Prior selection for panel vector autoregressions
Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2015
setting. Monte Carlo evidence and an empirical forecasting exercise show clear and important gains of the new priors compared …
Persistent link: https://www.econbiz.de/10011272688
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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
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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
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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
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Large time-varying parameter VARs
Koop, Gary; Korobilis, Dimitris - Department of Economics, Adam Smith Business School - 2012
In this paper we develop methods for estimation and forecasting in large time-varying parameter vector autoregressive … application involving forecasting inflation, real output, and interest rates demonstrates the feasibility and usefulness of our …
Persistent link: https://www.econbiz.de/10009652479
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Hierarchical Shrinkage in Time-Varying Parameter Models
Belmonte, Miguel; Koop, Gary; Korobilis, Dimitris - Economics Department, University of Strathclyde - 2011
In this paper, we forecast EU-area inflation with many predictors using time-varying parameter models. The facts that time-varying parameter models are parameter-rich and the time span of our data is relatively short motivate a desire for shrinkage. In constant coefficient regression models, the...
Persistent link: https://www.econbiz.de/10009653403