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Moments, shocks and spillovers in Markov switching VAR models

Dijk, Dick van; Kole, Erik - 2021

To investigate how economies, financial markets or institutions can deal with stress, we nowadays often analyze the effects of shocks conditional on a recession or a bear market. MSVAR models are ideally suited for such analyses because they combine gradual movement with sudden switches. In this...

Persistent link: https://www.econbiz.de/10012621564

Gold against the machine

Plakandaras, Vasilios; Gkonkas, Periklēs; … - In: Computational economics 57 (2021) 1, pp. 5-28

Persistent link: https://www.econbiz.de/10012486908

Forecasting volatility and co-volatility of crude oil and gold futures : effects of leverage, jumps, spillovers, and geopolitical risks

Asai, Manabu; Gupta, Rangan; McAleer, Michael - In: International journal of forecasting 36 (2020) 3, pp. 933-948

Persistent link: https://www.econbiz.de/10012497080

Forecasting bank failures and stress testing : a machine learning approach

Gkonkas, Periklēs; Papadimitriou, Theophilos; … - In: International journal of forecasting 34 (2018) 3, pp. 440-455

Persistent link: https://www.econbiz.de/10012031002

Forecasting the volatility of Nikkei 225 futures

Asai, Manabu; McAleer, Michael - 2017 - Revised: January 2017

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … that the new method based on stochastic volatility models with the asymmetry and long memory outperforms the forecasting …

Persistent link: https://www.econbiz.de/10011590424

Yield curve and recession forecasting in a Machine Learning framework

Gkonkas, Periklēs; Papadimitriou, Theophilos; … - In: Computational economics 45 (2015) 4, pp. 635-645

Persistent link: https://www.econbiz.de/10011440977

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16

This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model,...

Persistent link: https://www.econbiz.de/10011854876

Forecasting day-ahead electricity prices : utilizing hourly prices

Raviv, Eran; Bouwman, Kees E.; Dijk, Dick van - 2013

Persistent link: https://www.econbiz.de/10009765836

An alternative Bayesian approach to structural breaks in time series models

Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

Persistent link: https://www.econbiz.de/10011383033

The impact of jumps and leverage in forecasting co-volatility

Asai, Manabu; McAleer, Michael - 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/10010477100