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A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models
Bauwens, Luc; De Backer, Bruno; Dufays, Arnaud - In: Journal of Empirical Finance 29 (2014) C, pp. 207-229
We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH … nearly all series. Finally, we carry out a forecasting exercise to evaluate the usefulness of structural break models. …
Persistent link: https://www.econbiz.de/10011116269
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Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep; Swanson, Norman R. - In: Journal of econometrics 187 (2015) 2, pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
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A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
Atak, Alev; Kapetanios, George - In: Economics Letters 120 (2013) 2, pp. 224-228
. We explore the possibility of forecasting RV with factor analysis; once considering the significant jumps. A real high …There is a growing literature on the realized volatility (RV) forecasting of asset returns using high-frequency data …
Persistent link: https://www.econbiz.de/10010678826
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The benefit of modeling jumps in realized volatility for risk prediction: Evidence from Chinese mainland stocks
Liao, Yin - In: Pacific-Basin Finance Journal 23 (2013) C, pp. 25-48
of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized … volatility models are compared in terms of their VaR forecasting performances through a Monte Carlo study and an analysis based … on empirical data of eight Chinese stocks. The results suggest that careful modeling of jumps in realized volatility …
Persistent link: https://www.econbiz.de/10010636101
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Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV
Lahaye, Jerome; Shaw, Philip - In: Economics Letters 125 (2014) 1, pp. 43-46
This article tests the linearity assumption underlying the popular heterogeneous autoregressive model for realized volatility (HAR-RV). We implement a consistent model specification test that is robust to both distributional and model misspecification. We find that, using a nonparametric HAR-RV...
Persistent link: https://www.econbiz.de/10010939493
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Forecasting volatility with the realized range in the presence of noise and non-trading
Bannouh, Karim; Martens, Martin; van Dijk, Dick - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 535-551
We introduce a heuristic bias-adjustment for the transaction price-based realized range estimator of daily volatility in the presence of bid–ask bounce and non-trading. The adjustment is an extension of the estimator proposed in Christensen et al. (2009). We relax the assumption that all...
Persistent link: https://www.econbiz.de/10010730241
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Efficient modeling and forecasting of electricity spot prices
Ziel, Florian; Steinert, Rick; Husmann, Sven - In: Energy Economics 47 (2015) C, pp. 98-111
The increasing importance of renewable energy, especially solar and wind power, has led to new forces in the formation of electricity prices. Hence, this paper introduces an econometric model for the hourly time series of electricity prices of the European Power Exchange (EPEX) which...
Persistent link: https://www.econbiz.de/10011189287
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Forecasting financial and macroeconomic variables using data reduction methods: New empirical evidence
Kim, Hyun Hak; Swanson, Norman R. - In: Journal of Econometrics 178 (2014) P2, pp. 352-367
/2 of the time in 4 of 6 different sample periods. Ancillary findings based on our forecasting experiments underscore the …
Persistent link: https://www.econbiz.de/10011052271
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Forecasting the return distribution using high-frequency volatility measures
Hua, Jian; Manzan, Sebastiano - In: Journal of Banking & Finance 37 (2013) 11, pp. 4381-4403
The aim of this paper is to forecast (out-of-sample) the distribution of financial returns based on realized volatility measures constructed from high-frequency returns. We adopt a semi-parametric model for the distribution by assuming that the return quantiles depend on the realized measures...
Persistent link: https://www.econbiz.de/10010703243
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State dependence of aggregated risk aversion: Evidence for the German stock market
Hansen, Marc; Herwartz, Helmut; Rengel, Malte - In: Journal of Applied Economics XVII (2014) November, pp. 257-282
traders. Moreover, we document forecasting results based on a short horizon trading strategy. The proposed model is …
Persistent link: https://www.econbiz.de/10011085114