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On the Selection of Common Factors for Macroeconomic Forecasting
Giovannelli, Alessandro; Proietti, Tommaso - School of Economics and Management, University of Aarhus - 2014
We address the problem of selecting the common factors that are relevant for forecasting macroeconomic variables. In economic forecasting using diffusion indexes the factors are ordered, according to their importance, in terms of relative variability, and are the same for each variable to...
Persistent link: https://www.econbiz.de/10011084734
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Financial Risk Measurement for Financial Risk Management
Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - School of Economics and Management, University of Aarhus - 2011
market risk and macroeconomic fundamentals, focusing primarily on links among equity return volatilities, real growth, and …
Persistent link: https://www.econbiz.de/10009371457
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Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange
Lunde, Asger; Olesen, Kasper V. - School of Economics and Management, University of Aarhus - 2014
analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GARCH … framework for the joint modeling of returns and realized measures of volatility. An influential bias in these measures is … over time, which stresses the importance of careful modeling and forecasting of volatility. We show that improved model fit …
Persistent link: https://www.econbiz.de/10010945126
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Generalizing smooth transition autoregressions
Chini, Emilio Zanetti - School of Economics and Management, University of Aarhus - 2013
We introduce a variant of the smooth transition autoregression - the GSTAR model - capable to parametrize the asymmetry in the tails of the transition equation by using a particular generalization of the logistic function. A General-to-Specific modelling strategy is discussed in detail, with...
Persistent link: https://www.econbiz.de/10010929616
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The cyclical component factor model
Dahl, Christian M.; Hansen, Henrik; Smidt, John - School of Economics and Management, University of Aarhus - 2008
Forecasting using factor models based on large data sets have received ample attention due to the models’ ability to increase forecast accuracy with respect to a range of key macroeconomic variables in the US and the UK. However, forecasts based on such factor models do not uniformly...
Persistent link: https://www.econbiz.de/10005440058
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Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; … - School of Economics and Management, University of Aarhus - 2011
The dynamic dependencies in financial market volatility are generally well described by a long-memory fractionally … integrated process. At the same time, the volatility risk premium, defined as the difference between the ex-post realized … volatility and the market’s ex-ante expectation thereof, tends to be much less persistent and well described by a short …
Persistent link: https://www.econbiz.de/10009399368
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Volatility in Equilibrium: Asymmetries and Dynamic Dependencies
Bollerslev, Tim; Sizova, Natalia; Tauchen, George - School of Economics and Management, University of Aarhus - 2009
Stock market volatility clusters in time, carries a risk premium, is fractionally integrated, and exhibits asymmetric … shapes and patterns in the sample autocorrelations of the volatility and the volatility risk premium, and the dynamic cross …-correlations of the volatility measures with the returns calculated from actual high-frequency intra-day data on the S&P 500 aggregate …
Persistent link: https://www.econbiz.de/10005787548
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Realized Volatility and Multipower Variation
Andersen, Torben G.; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2009
-form volatility modeling and forecasting as well as testing for the presence of jumps. …
Persistent link: https://www.econbiz.de/10008577800
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Expected Stock Returns and Variance Risk Premia
Bollerslev, Tim; Hao, Tzuo; Tauchen, George - School of Economics and Management, University of Aarhus - 2008
Motivated by the implications from a stylized self-contained general equilibrium model incorporating the effects of time-varying economic uncertainty, we show that the difference between implied and realized variation, or the variance risk premium, is able to explain a non-trivial fraction of...
Persistent link: https://www.econbiz.de/10005114114
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Counting Processes for Retail Default Modeling
Kiefer, Nicholas M.; Larson, C. Erik - School of Economics and Management, University of Aarhus - 2015
Counting processes provide a very flexible framework for modeling discrete events occurring over time. Estimation and …
Persistent link: https://www.econbiz.de/10011268023