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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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A New Monthly Indicator of Global Real Economic Activity
Ravazzolo, Francesco; Vespignani, Joaquin L. - Norges Bank - 2015
In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely the Kilian's index of global real economic activity and the index of OECD...
Persistent link: https://www.econbiz.de/10011277157
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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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A New Monthly Indicator of Global Real Economic Activity
Ravazzolo, Francesco; Vespignani, Joaquin L. - Crawford School of Public Policy, Australian National … - 2015
In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely the Kilian’s index of global real economic activity and the index of OECD...
Persistent link: https://www.econbiz.de/10011265853
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Real-time inflation forecasting in a changing world
Groen, Jan J. J.; Paap, Richard; Ravazzolo, Francesco - Federal Reserve Bank of New York - 2009
This paper revisits inflation forecasting using reduced-form Phillips curve forecasts, that is, inflation forecasts … evidence of autonomous variance breaks and inflation gap persistence. Through a real-time out-of-sample forecasting exercise … quarterly inflation relative to an extended range of forecasting models that are typically used in the literature. …
Persistent link: https://www.econbiz.de/10005078430
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Forecasting the intraday market price of money
Monticini, Andrea; Ravazzolo, Francesco - Norges Bank - 2011
benchmarks in terms of point and density forecasting. The gains are particular high when the full distribution is predicted and …
Persistent link: https://www.econbiz.de/10009292070