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~institution:"European Central Bank"
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RePEc
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11
The Degree of Stability of Price Diffusion
Los, Cornelis A.
-
EconWPA
-
2005
The distributional form of financial asset returns has important implications for the theoretical and empirical analyses in economics and finance. It is now a well-established fact that financial return distributions are empirically nonstationary, both in the weak and the strong sense. One first...
Persistent link: https://www.econbiz.de/10005134704
Saved in:
12
Multifractal Modeling of the US Treasury Term Structure and Fed Funds Rate
Jamdee, Sutthisit
;
Los, Cornelis A.
-
EconWPA
-
2005
This paper identifies the Multifractal Models of Asset Return (MMARs) from the eight nodal term structure series of US Treasury rates as well as the Fed Funds rate and, after proper synthesis, simulates those MMARs. We show that there is an inverse persistence term structure in the sense that...
Persistent link: https://www.econbiz.de/10005077018
Saved in:
13
Diffusion Indexes with Sparse Loadings
Kristensen, Johannes Tang
-
School of Economics and Management, University of Aarhus
-
2013
The use of large-dimensional factor models in
forecasting
has received much attention in the literature with the … model which is better suited for
forecasting
compared to the traditional principal components (PC) approach.We provide an … asymptotic analysis of the estimator and illustrate its merits empirically in a
forecasting
experiment based on US macroeconomic …
Persistent link: https://www.econbiz.de/10010851192
Saved in:
14
Housing price forecastability: A factor analysis
Bork, Lasse
;
Møller, Stig V.
-
School of Economics and Management, University of Aarhus
-
2012
-sample
forecasting
regressions. The predictive power of the model stays high at longer horizons. The estimated factors are strongly …
Persistent link: https://www.econbiz.de/10010851257
Saved in:
15
Oracle Efficient Estimation and
Forecasting
with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions
Kock, Anders Bredahl
;
Callot, Laurent A.F.
-
School of Economics and Management, University of Aarhus
-
2012
variable selection and estimation in one step. We evaluate the
forecasting
accuracy of these estimators for a large set of …
Persistent link: https://www.econbiz.de/10010851261
Saved in:
16
Factor-Based
Forecasting
in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?
Kristensen, Johannes Tang
-
School of Economics and Management, University of Aarhus
-
2012
Macroeconomic
forecasting
using factor models estimated by principal components has become a popular research topic … simply screen datasets prior to estimation and remove anomalous observations.We investigate whether
forecasting
performance … Carlo simulation studies. Finally, we apply our proposed estimator in a simulated real-time
forecasting
exercise to test its …
Persistent link: https://www.econbiz.de/10010851270
Saved in:
17
Daily House Price Indices: Construction, Modeling, and Longer-Run Predictions
Bollerslev, Tim
;
Patton, Andrew J.
;
Wang, Wenjing
-
School of Economics and Management, University of Aarhus
-
2015
We construct daily house price indices for ten major U.S. metropolitan areas. Our calculations are based on a comprehensive database of several million residential property transactions and a standard repeat-sales method that closely mimics the methodology of the popular monthly Case-Shiller...
Persistent link: https://www.econbiz.de/10011118617
Saved in:
18
Forecasting
Long Memory Series Subject to Structural Change: A Two-Stage Approach
Dias, Gustavo Fruet
;
Papailias, Fotis
-
School of Economics and Management, University of Aarhus
-
2014
A two-stage
forecasting
approach for long memory time series is introduced. In the first step we estimate the … and yields good
forecasting
results. …
Persistent link: https://www.econbiz.de/10011099291
Saved in:
19
The Value of Multivariate Model Sophistication: An Application to pricing Dow Jones Industrial Average options
Rombouts, Jeroen V.K.
;
Stentoft, Lars
;
Violante, Francesco
-
School of Economics and Management, University of Aarhus
-
2012
We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on the Dow Jones Industrial Average. We measure the value of model sophistication in terms of dollar losses by considering a set 248 multivariate models that differ in their...
Persistent link: https://www.econbiz.de/10009492823
Saved in:
20
The Model Confidence Set
Hansen, Peter R.
;
Lunde, Asger
;
Nason, James M.
-
School of Economics and Management, University of Aarhus
-
2010
forecasting
problem posed by Stock and Watson (1999), and compute the MCS for their set of inflation forecasts. Second, we compare …
Persistent link: https://www.econbiz.de/10008784441
Saved in:
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