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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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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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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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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
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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
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Advances in forecast evaluation
Clark, Todd; McCracken, Michael W. - Federal Reserve Bank of Cleveland - 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...
Persistent link: https://www.econbiz.de/10009321127
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Tests of equal forecast accuracy for overlapping models
Clark, Todd; McCracken, Michael W. - Federal Reserve Bank of Cleveland - 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/10009321128