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Modelling and Forecasting Noisy Realized Volatility
Asai, Manabu; McAleer, Michael; Medeiros, Marcelo C. - Facultad de Ciencias Económicas y Empresariales, … - 2011
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 serious bias in …
Persistent link: https://www.econbiz.de/10008915753
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Asymmetric Realized Volatility Risk
Allen, David Edmund; McAleer, Michael; Scharth, Marcel - Facultad de Ciencias Económicas y Empresariales, … - 2014
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10010862570
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Realized volatility risk
Allen, David Edmund; McAleer, Michael; Scharth, Marcel - Facultad de Ciencias Económicas y Empresariales, … - 2013
forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …
Persistent link: https://www.econbiz.de/10011162546
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Modelling and Simulation: An Overview
McAleer, Michael; Oxley, Les; Chan, Felix - Facultad de Ciencias Económicas y Empresariales, … - 2013
underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …
Persistent link: https://www.econbiz.de/10011162548
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Risk Modelling and Management: An Overview
Chang, Chia-Lin; Allen, David Edmund; McAleer, Michael; … - Facultad de Ciencias Económicas y Empresariales, … - 2013
under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes … dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …
Persistent link: https://www.econbiz.de/10010778723
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Inflation expectations in Spain: The Spanish PwC Survey
Sosvilla-Rivero, Simon; Ramos-Herrera, María del Carmen - Facultad de Ciencias Económicas y Empresariales, … - 2013
rate, our results suggest that the PwC panel has some forecasting ability for time horizons from 3 to 9, improving when it …
Persistent link: https://www.econbiz.de/10010778734
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The Impact of Jumps and Leverage in Forecasting Co-Volatility
Asai, Manabu; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2015
The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … forecasting weekly and monthly horizons. …
Persistent link: https://www.econbiz.de/10011272957
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Modelling Sustainable International Tourism Demand to the Brazilian Amazon
Divino, Jose Angelo; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2009
The Amazon rainforest is one of the world’s greatest natural wonders and holds great importance and significance for the world’s environmental balance. Around 60% of the Amazon rainforest is located in the Brazilian territory. The two biggest states of the Amazon region are Amazonas (the...
Persistent link: https://www.econbiz.de/10005012104
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Component versus Tradicional Models to Forecast Quarterly National Account Aggregates: a Monte Carlo Experiment
Marrero, Gustavo A. - Facultad de Ciencias Económicas y Empresariales, … - 2004
forecasting procedure, based on component models, improves the forecasting accuracy of traditional methods. Component models … Monte Carlo out-of-sample experiment reveals that component models improve the forecasting accuracy of traditional methods …
Persistent link: https://www.econbiz.de/10008468181
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State-Uncertainty preferences and the Risk Premium in the Exchange rate market
Jimenez-Martin, Juan-Angel; Cinca, Alfonso Novales - Facultad de Ciencias Económicas y Empresariales, … - 2009
This paper introduces state-uncertainty preferences into the Lucas (1982) economy, showing that this type of preferences helps to explain the exchange rate risk premium. Under these preferences we can distinguish between two factors driving the exchange rate risk premium: “macroeconomic...
Persistent link: https://www.econbiz.de/10005057524