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Duration and Order Type Clusters
NG, Wing Lon - Econometric Society - 2004
This paper introduces a new bivariate autoregressive conditional framework (ACD×ACL) for modelling the arrival process of buy and sell orders in a limit order book. The model contains two dynamic components to describe the observed clustering of durations and order types: a duration process to...
Persistent link: https://www.econbiz.de/10005130252
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Duration and Order Type Clusters
NG, Wing Lon - Econometric Society - 2004
This paper introduces a new bivariate autoregressive conditional framework (ACD×ACL) for modelling the arrival process of buy and sell orders in a limit order book. The model contains two dynamic components to describe the observed clustering of durations and order types: a duration process to...
Persistent link: https://www.econbiz.de/10005702575
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Forecasting Chilean Industrial Production with Automated Procedures
CHUMACERO, ROMULO A. - Econometric Society - 2004
This paper presents a rigurous framework for evaluating alternative forecasting methods for Chilean industrial production and sales. While nonlinear features appear to be important for forecasting the very short term, simple univariate linear models perform about as well for almost every...
Persistent link: https://www.econbiz.de/10005328915
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Properties of Optimal Forecasts
Timmermann, Allan; Patton, Andrew J. - Econometric Society - 2004
Evaluation of forecast optimality in economics and finance has almost exclusively been conducted under the assumption of mean squared error loss. Under this loss function optimal forecasts should be unbiased and forecast errors should be serially uncorrelated at the single period horizon with...
Persistent link: https://www.econbiz.de/10005328966
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Bagging Time Series Models
Kilian, Lutz; Inoue, Atsushi - Econometric Society - 2004
A common problem in out-of-sample prediction is that there are potentially many relevant predictors that individually have only weak explanatory power. We propose bootstrap aggregation of pre-test predictors (or bagging for short) as a means of constructing forecasts from multiple regression...
Persistent link: https://www.econbiz.de/10005342193
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Block Bootstrap for Parameter Estimation Error when Parameters are recursively estimated
Swanson, Norman R.; Corradi, Valentina - Econometric Society - 2004
In real time forecasting, the sample is usually split into an estimation period of R observations and a prediction … case of non-vanishing parameter estimation error. The second is an out of sample version of the integrated conditional …
Persistent link: https://www.econbiz.de/10005063601
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How Can We Define the Long Memory Concept? An Econometric Survey
Guegan, Dominique - Econometric Society - 2004
The possibility of confusing long memory behavior with structural changes need to specify what kind of long memory behavior is concerned in literature and applications. One attraction of long memory models is that they imply different long run predictions and effects of shocks to conventional...
Persistent link: https://www.econbiz.de/10005063626
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Discretised Non-Linear Filtering for Dynamic Latent Variable Models: with Application to Stochastic Volatility
White, Scott I.; Clements, Adam E.; Hurn, Stan - Econometric Society - 2004
Filtering techniques are often applied to the estimation of dynamic latent variable models. However, these techniques … empirical performance of this algorithm is considered within the context of the stochastic volatility model. It is found that … the proposed algorithm outperforms a number of accepted procedures in terms of volatility forecasti …
Persistent link: https://www.econbiz.de/10005702536
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Analysis of the predictive ability of information accumulated over nights, weekends and holidays
Tsiakas, Ilias - Econometric Society - 2004
significant in volatility as opposed to expected returns. This paper seeks an explanation for this empirical finding by … volatility model, in which the conditional daily volatility is measured in calendar time from open-to-close of the market, and … over weekends and especially holidays is a predictor of subsequent daily volatility. The SV parameters are estimated by …
Persistent link: https://www.econbiz.de/10005702592
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Allowing for basis convergence and long memory in volatility when dynamic hedging the Australian All Ordinaries Index
Dark, Jonathan - Econometric Society - 2004
(2003c) documents the importance of allowing for long memory in volatility and time varying correlations when estimating … allowing for basis convergence and long memory in volatility when modelling the joint dynamics. These effects are also shown to …
Persistent link: https://www.econbiz.de/10005063678