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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

Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy

Callot, Laurent; Kristensen, Johannes Tang - School of Economics and Management, University of Aarhus - 2014

This paper studies vector autoregressive models with parsimoniously time-varying parameters. The parameters are assumed to follow parsimonious random walks, where parsimony stems from the assumption that increments to the parameters have a non-zero probability of being exactly equal to zero.We...

Persistent link: https://www.econbiz.de/10011252640

Modelling and Forecasting Multivariate Realized Volatility

Chiriac, Roxana; Voev, Valeri - School of Economics and Management, University of Aarhus - 2008

This paper proposes a methodology for modelling time series of realized covariance matrices in order to forecast multivariate risks. The approach allows for flexible dynamic dependence patterns and guarantees positive definiteness of the resulting forecasts without imposing parameter...

Persistent link: https://www.econbiz.de/10005440044

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - School of Economics and Management, University of Aarhus - 2007

Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news produces conditional mean jumps, hence high-frequency stock, bond and exchange rate dynamics...

Persistent link: https://www.econbiz.de/10005440071

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

Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice

Callot, Laurent A. F.; Kock, Anders B.; Medeiros, Marcelo C. - School of Economics and Management, University of Aarhus - 2014

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector …

Persistent link: https://www.econbiz.de/10011079278

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

Exploiting the Errors: A Simple Approach for Improved Volatility Forecasting

Bollerslev, Tim; Patton, Andrew J.; Quaedvlieg, Rogier - School of Economics and Management, University of Aarhus - 2015

We propose a new family of easy-to-implement realized volatility based forecasting models. The models exploit the …

Persistent link: https://www.econbiz.de/10011207425

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

Estimating High-Dimensional Time Series Models

Medeiros, Marcelo C.; Mendes, Eduardo F. - School of Economics and Management, University of Aarhus - 2012

We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. We assume both the number of covariates in the model and candidate variables can increase with the number of observations and the number of candidate variables is,...

Persistent link: https://www.econbiz.de/10010851219