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Temporal aggregation of multivariate GARCH processes

Hafner, C.M. - Erasmus University Rotterdam, Econometric Institute - 2004

This paper derives results for the temporal aggregation of multivariate GARCH processes in the general vector … specification. It is shown that the class of weak multivariate GARCH processes is closed under temporal aggregation. Fourth moment …. Forecasting volatility, it is generally advisable to aggregate forecasts of the disaggregate series rather than forecasting the …

Persistent link: https://www.econbiz.de/10004972260

Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates

Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2010

mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The … choice of data frequency or spatial aggregation will not lead to robust findings as they are generally not independent of the … level of aggregation used. …

Persistent link: https://www.econbiz.de/10008584742

Estimation of temporally aggregated multivariate GARCH models

Hafner, C.M.; Rombouts, J.V.K. - Erasmus University Rotterdam, Econometric Institute - 2004

substantial bias if both the initial degree of persistence and the aggregation level are high. In other cases, QML might be taken …

Persistent link: https://www.econbiz.de/10004991145

Nonlinear Error-Correction Models for Interest Rates in The Netherlands

Dijk, D.J.C. van; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 1997

In this paper we investigate empirical specification of smooth transition error correction models (STECMs). These models can be used to describe linear long-run relationships between nonstationary variables where adjustment towards equilibrium is nonlinear and can depend on exogenous variables....

Persistent link: https://www.econbiz.de/10008584808

Modelling and Forecasting Noisy Realized Volatility

Asai, M.; McAleer, M.J.; Medeiros, M. - Erasmus University Rotterdam, Econometric Institute - 2011

take account of them in estimating and forecasting IV. This paper investigates through Monte Carlo simulations the effects … of RV errors on estimating and forecasting IV with RV data. It is found that: (i) neglecting RV errors can lead to …

Persistent link: https://www.econbiz.de/10008833191

Improved Construction of diffusion indexes for macroeconomic forecasting

Heij, C.; Dijk, D.J.C. van; Groenen, P.J.F. - Erasmus University Rotterdam, Econometric Institute - 2006

This article proposes a modified method for the construction of diffusion indexes in macroeconomic forecasting using …

Persistent link: https://www.econbiz.de/10004972197

Forecasting in marketing

Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2004

With the advent of advanced data collection techniques, there is an increased interest in using econometric models to support decisions in marketing. Due to the sometimes specific nature of variables in marketing, the discipline uses econometric models that are rarely, if ever, used elsewhere....

Persistent link: https://www.econbiz.de/10004972205

On combining revealed and stated preferences to forecast customer behaviour: three case studies

Franses, Ph.H.B.F.; Verhoef, P.C. - Erasmus University Rotterdam, Econometric Institute - 2002

Many companies collect stated preference data (SP) like intentions and satisfaction as well as revealed preference data (RP) like actual purchasing behavior. It seems relevant to examine the predictive usefulness of this information for future revealed preferences, that is, customer behavior. In...

Persistent link: https://www.econbiz.de/10004972221

On forecasting cointegrated seasonal time series

LÃ¶f, M.; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2000

forecasting study. We include both single equation and multiple equation methods. A VAR model in first differences with and …

Persistent link: https://www.econbiz.de/10004972225

Experts' adjustment to model-based forecasts: Does the forecast horizon matter?

Franses, Ph.H.B.F.; Legerstee, R. - Erasmus University Rotterdam, Econometric Institute - 2007

Experts may have domain-specific knowledge that is not included in a statistical model and that can improve forecasts. While one-step-ahead forecasts address the conditional mean of the variable, model-based forecasts for longer horizons have a tendency to convert to the unconditional mean of a...

Persistent link: https://www.econbiz.de/10004972226