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Dissecting the Purchasing Managers' Index : are all relevant components included? ; are all included components relevant?
Siliverstovs, Boriss - 2015
We apply the novel approach of Siliverstovs (2015) to modelling data sampled at different frequencies in order to scrutinise the composition of one of the most influential economic indicators in Switzerland. The Purchasing Managers' Index consists of eight sub-indices out of which only five...
Persistent link: https://www.econbiz.de/10010498418
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Short-term forecasting with mixed-frequency data : a MIDASSO approach
Siliverstovs, Boriss - 2015
-Sampling approach (U-MIDAS) (see Foroni et al., 2015; Castle et al., 2009; Bec and Mogliani, 2013), and the LASSO-type penalised …
Persistent link: https://www.econbiz.de/10010498420
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Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach
Girardin, Eric; Joyeux, Roselyne - In: Economic Modelling 34 (2013) C, pp. 59-68
In order to shed new light on the influence of volume and economic fundamentals on the long-run volatility of the Chinese stock market we follow the methodology introduced by Engle et al. (2009) and Engle and Rangel (2008) to account for the effects of macro fundamentals, and augment it with...
Persistent link: https://www.econbiz.de/10010709340
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Partial sample regressions
Czasonis, Megan; Kritzman, Mark; Turkington, David - 2019 - This version: November 13, 2019
Financial analysts assume that the reliability of predictions derived from regression analysis improves with sample size. This is generally true because larger samples tend to produce less noisy results than smaller samples. But this is not always the case. Some observations are more relevant...
Persistent link: https://www.econbiz.de/10012225139
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Un modello a soglia per la volatilità del mercato azionario italiano: performance previsive e valutazione del rischio di portafoglio
Jamaleh, Asmara - In: Rivista di Politica Economica 91 (2001) 2, pp. 79-132
A Self-Exciting Threshold AutoRegressive (SETAR) model is applied to the Italian stock market volatility, to obtain volatility forecasts and Value-at-Risk (VaR) estimates. There is almost nothing dealing with Italian markets in the literature of Threshold models, which have never been used for...
Persistent link: https://www.econbiz.de/10008512990
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The impact of unconventional monetary policy on the market for collateral: The case of the French bond market
Avouyi-Dovi, Sanvi; Idier, Julien - In: Journal of Banking & Finance 36 (2012) 2, pp. 428-438
We consider the channel consisting in transferring the credit risk associated with refinancing operations between financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French government debt securities market, since these assets are used...
Persistent link: https://www.econbiz.de/10010574828
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Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts
Benavides, Guillermo; Capistrán, Carlos - In: Journal of Empirical Finance 19 (2012) 5, pp. 627-639
This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, unconditional combinations, and hybrid forecasts. Superior forecasting performance is...
Persistent link: https://www.econbiz.de/10011042107
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Forecasting Chinese GDP growth with mixed frequency data : which indicators to look at?
Mikosch, Heiner; Zhang, Ying - 2014 - First version: December 01, 2013, This version: July 10, 2014
Building on a mixed data sampling (MIDAS) model we evaluate the predictive power of a variety of monthly macroeconomic …
Persistent link: https://www.econbiz.de/10010376402
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Real-time forecasting with a MIDAS VAR
Mikosch, Heiner; Neuwirth, Stefan - 2015 - This version: April 2015
This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed … frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon … the resulting non-linear MIDAS type mixed frequency VAR into a linear equation system that can be easily estimated. A …
Persistent link: https://www.econbiz.de/10010508351
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MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area
Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - C.E.P.R. Discussion Papers - 2009
in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on …This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model specification … curse of dimensionality. But if the restrictions imposed by MIDAS are too stringent, the MF-VAR can perform better. Hence …
Persistent link: https://www.econbiz.de/10008528546