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Cryptocurrencies, diversification and the COVID-19 pandemic

Allen, David E. - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-25

This paper features an analysis of cryptocurrencies and the impact of the COVID-19 pandemic on their effectiveness as a portfolio diversification tool and explores the correlations between the continuously compounded returns on Bitcoin, Ethereum and the S&P500 Index using a variety of parametric...

Persistent link: https://www.econbiz.de/10013161685

Asymmetries in conditional mean and variance : modelling stock returns by asMA-asQGARCH

Brännäs, Kurt; Gooijer, Jan G. de - 2000

variancefunctions. In a genuine out-of-sample forecasting experiment theperformance of the best fitted asMA-asQGARCH model is compared … topure asMA and no-change forecasts. This is done both in terms ofconditional mean forecasting as well as in terms of risk … forecasting. …

Persistent link: https://www.econbiz.de/10011303289

Forecasting using DSGE models with financial frictions

Kolasa, Marcin; Rubaszek, Michał - In: International journal of forecasting 31 (2015) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011327140

A reappraisal of the Meese-Rogoff puzzle

Moosa, Imad A.; Burns, Kelly - In: Applied economics 46 (2014) 1/3, pp. 30-40

Persistent link: https://www.econbiz.de/10010354125

Realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2013

Persistent link: https://www.econbiz.de/10009784942

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2014 - This version: June 2014

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

Persistent link: https://www.econbiz.de/10010366935

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - In: Journal of risk and financial management : JRFM 7 (2014) 2, pp. 80-109

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

Persistent link: https://www.econbiz.de/10011553303

Error correction modelling and dynamic specifications as a conduit to outperforming the random walk in exchange rate forecasting

Moosa, Imad A.; Burns, Kelly - In: Applied economics 46 (2014) 25/27, pp. 3107-3118

Persistent link: https://www.econbiz.de/10010418113

Forecasting crude oil prices with DSGE models

Rubaszek, Michał - In: International journal of forecasting 37 (2021) 2, pp. 531-546

Persistent link: https://www.econbiz.de/10012792850

Semiparametric quantile averaging in the presence of high-dimensional predictors

Gooijer, Jan G. de; Zerom Godefay, Dawit - In: International journal of forecasting 35 (2019) 3, pp. 891-909

Persistent link: https://www.econbiz.de/10012305189