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Forecasting volatility: Evidence from the Macedonian stock exchange
Kovačić, Zlatko - Volkswirtschaftliche Fakultät, … - 2007
, focusing on the relationship between returns and conditional volatility. The conditional mean follows a GARCH-M model, while … PGARCH) were tested. We examine how accurately these GARCH models forecast volatility under various error distributions … the following: (i) the Macedonian stock returns time series display stylized facts such as volatility clustering, high …
Persistent link: https://www.econbiz.de/10005621308
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Information Arrival and Volatility: Evidence from the Saudi Arabia Stock Exchange (Tadawul)
Ezzat, Hassan; Kirkulak, Berna - Volkswirtschaftliche Fakultät, … - 2014
sector indices from April 2008 to August 2013. The relationship between volatility and information arrival was modelled using … TGARCH. The findings provide strong evidence for the validity of the MDH for the Saudi market. Volatility persistence …, interacting with volatility in a manner anticipated under the MDH. This can be attributed to unique characteristic of the Saudi …
Persistent link: https://www.econbiz.de/10011115493
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The Elasticities Approach to Egypt’s Balance of Payments and Equilibrium Exchange Rate
Lord, Montague J. - Volkswirtschaftliche Fakultät, … - 1999
a theory-consistent representation of the behavioral relationships in the balance of payments, and it offers forecasting …
Persistent link: https://www.econbiz.de/10011259979
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The case for higher frequency inflation expectations
Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2011
I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...
Persistent link: https://www.econbiz.de/10009650037
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Forecasts with single-equation Markov-switching model: an application to the gross domestic product of Latvia
Bušs, Ginters - Volkswirtschaftliche Fakultät, … - 2010
The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single-equation Markov-switching (MS) models for two cases: when leading information is available and when it is not. The results show that single-equation MS models tend to perform...
Persistent link: https://www.econbiz.de/10008541474
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A note on GDP now-/forecasting with dynamic versus static factor models along a business cycle
Buss, Ginters - Volkswirtschaftliche Fakultät, … - 2010
We build a small-scale factor model for the GDP of one of the hardest hit economies during the latest recession to study the exact dynamic versus static factor model performance along a business cycle, with an emphasis placing on nowcasting performance during a pronounced switch of business...
Persistent link: https://www.econbiz.de/10008470462
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Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn
Bušs, Ginters - Volkswirtschaftliche Fakultät, … - 2009
Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag (ADL) model is chosen. The results show that a...
Persistent link: https://www.econbiz.de/10005103392
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Data-based priors for vector autoregressions with drifting coefficients
Korobilis, Dimitris - Volkswirtschaftliche Fakultät, … - 2014
This paper proposes full-Bayes priors for time-varying parameter vector autoregressions (TVP-VARs) which are more robust and objective than existing choices proposed in the literature. We formulate the priors in a way that they allow for straightforward posterior computation, they require...
Persistent link: https://www.econbiz.de/10011109841
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A Macroeconomic Model for Romania's Flexible Exchange Rate System
Lord, Montague J. - Volkswirtschaftliche Fakultät, … - 1994
The transition process of the Romanian economy motivated the design of a model that provides for a parsimonious representation of the structure of the economy, exploits the increased availability of data for the system of national accounts, and recognizes time-variant parameters that can result...
Persistent link: https://www.econbiz.de/10011111567
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Modeling the Macro-Economy of Bangladesh
Lord, Montague J. - Volkswirtschaftliche Fakultät, … - 2002
The study develops a parsimonious representation of the macro economy of Bangladesh. It aims to serve a dual purpose. First, it provides a framework for making rational and consistent predictions about Bangladesh's overall economic activity, the standard components of the balance of payments,...
Persistent link: https://www.econbiz.de/10011113692