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Forecasting daily political opinion polls using the fractionally cointegrated VAR model
Nielsen, Morten Ørregaard; Shibaev, Sergei S. - 2015
We examine forecasting performance of the recent fractionally cointegrated vector autoregressive (FCVAR) model. The model is applied to daily polling data of political support in the United Kingdom for 2010 - 2015. We compare with popular competing models and at various forecast horizons. Our...
Persistent link: https://www.econbiz.de/10011279787
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A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014
-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the …
Persistent link: https://www.econbiz.de/10010381431
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Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
Dolatabadi, Sepideh; Narayan, Paresh Kumar; Nielsen, … - 2015
Based on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a …
Persistent link: https://www.econbiz.de/10010464770
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A fractionally cointegrated VAR analysis of price discovery in commodity futures markets
Dolatabadi, Sepideh; Nielsen, Morten Ørregaard; Xu, Ke - 2014
Persistent link: https://www.econbiz.de/10010394599
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Forecasting daily political opinion polls using the fractionally cointegrated VAR model
Nielsen, Morten Ørregaard; Shibaev, Sergei S. - 2016
Persistent link: https://www.econbiz.de/10011573274
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Economic significance of commodity return forecasts from the fractionally cointegrated VAR model
Dolatabadim, Sepideh; Narayan, Kumar Paresh; Nielsen, … - 2018
Persistent link: https://www.econbiz.de/10011946486
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A Fractionally Cointegrated VAR Model with Deterministic Trends and Application to Commodity Futures Markets
Dolatabadi, Sepideh - 2017
for the cointegration rank test are also briefly discussed. In our empirical application we use the data from Figuerola … conclusion from the empirical analysis is that, when using the FCVAR model, there is more support for the cointegration vector (1 …-run backwardation, compared to the results from the non-fractional model. Specifically, we reject the hypothesis that the cointegration …
Persistent link: https://www.econbiz.de/10012946780
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Economic Significance of Commodity Return Forecasts from the Fractionally Cointegrated VAR Model
Dolatabadi, Sepideh - 2017
We model and forecast commodity spot and futures prices using fractionally cointegrated vector autoregressive (FCVAR) models generalizing the well-known (non-fractional) CVAR model to accommodate fractional integration. In our empirical analysis to daily data on 17 commodity markets, the...
Persistent link: https://www.econbiz.de/10012946781
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A Fractionally Cointegrated VAR Analysis of Price Discovery in Commodity Futures Markets
Dolatabadi, Sepideh - 2017
-unit cointegration coefficient. Price discovery can be analyzed in the FCVAR model by a relatively straightforward examination of the …
Persistent link: https://www.econbiz.de/10012946789