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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

Macroeconomic Factors and the German Real Estate Market: A Stock-Market-Based Forecasting Experiment

Pierdzioch, Christian - In: Review of Economics & Finance 2 (2012) May, pp. 87-96

Based on a recursive forecasting approach, this research studies whether macro- economic factors help to forecast … included in the optimal forecasting model, that their relative importance often differs from their importance for forecasting a … broad stock-market index, and that their informational content for forecasting excess returns seems to undergo temporal …

Persistent link: https://www.econbiz.de/10010927776

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

Forecasting the Dollar/British Pound Exchange Rate: Asymmetric Loss and Forecast Rationality

Pierdzioch, Christian; Rülke, Jan C; Stadtmann, Georg - In: Economics Bulletin 32 (2012) 3, pp. 213-213

We apply an approach recently developed by Elliott et al. (Rev. Ec. Studies. 72, 1197-1125, 2005) to study whether forecasts of the dollar/British pound exchange rate extracted from a panel of survey data are consistent with an asymmetric loss function. We find that only few forecasters seem to...

Persistent link: https://www.econbiz.de/10011278661

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 the Brazilian Real and the Mexican Peso: Asymmetric Loss, Forecast Rationality, and Forecaster Herding

Fritsche, Ulrich; Pierdzioch, Christian; Ruelke, … - Fachbereich Sozialökonomie, Universität Hamburg - 2012

Using forecasts of the Brazilian real and the Mexican peso, we analyze the shape of the loss function of exchange-rate forecasters and the rationality of their forecasts. We find a substantial degree of cross-sectional heterogeneity with respect to the shape of the loss function. While some...

Persistent link: https://www.econbiz.de/10009650308

Forecasting the Euro: Do Forecasters Have an Asymmetric Loss Function?

Fritsche, Ulrich; Pierdzioch, Christian; Ruelke, … - Fachbereich Sozialökonomie, Universität Hamburg - 2012

Based on the approach advanced by Elliott et al. (Rev. Ec. Studies. 72, 1197-1125,2005), we analyzed whether the loss function of a sample of exchange rate forecasters is asymmetric in the forecast error. Using forecasts of the euro/dollar exchange rate, we found that the shape of the loss...

Persistent link: https://www.econbiz.de/10009650309