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Modeling and Forecasting Realized Volatility

Andersen, Torben G. - 2002

This paper provides a general framework for integration of high-frequency intraday data into the measurement forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting financial asset return volatilities, correlations, and...

Persistent link: https://www.econbiz.de/10012787458

Real-Time Multivariate Density Forecast Evaluation and Calibration : Monitoring the Risk of High-Frequency Returns on Foreign Exchange

Diebold, Francis X.; Hahn, Jinyong; Tay, Anthony S. - 2021

We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions...

Persistent link: https://www.econbiz.de/10013239958

The Spatial Mismatch between Innovation and Joblessness

Glaeser, Edward L. - 2019

's most persistent pockets of joblessness. Could a more even spatial distribution of innovation reduce American joblessness …? Could Federal policies disperse innovation without significant costs? If research funding is already maximizing knowledge … production, then spatial reallocation of that funding will reduce America's overall innovation unless that reallocation comes …

Persistent link: https://www.econbiz.de/10012869066

What explains differences in smoking, drinking, and other health-related behaviors?

Cutler, David M.; Glaeser, Edward L. - In: The American economic review 95 (2005) 2, pp. 238-242

Persistent link: https://www.econbiz.de/10003213368

A framework for exploring the macroeconomic determinants of systematic risk

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - In: The American economic review 95 (2005) 2, pp. 398-404

Persistent link: https://www.econbiz.de/10003214098

The misallocation of housing under rent control

Glaeser, Edward L.; Luttmer, Erzo F. P. - In: The American economic review 93 (2003) 4, pp. 1027-1046

Persistent link: https://www.econbiz.de/10001798563

Improving GDP Measurement : a Forecast Combination Perspective

Aruoba, S. Borağan - 2011

Two often-divergent U.S. GDP estimates are available, a widely-used expenditure side version, GDPE, and a much less widely-used income-side version GDPI . We propose and explore a "forecast combination" approach to combining them. We then put the theory to work, producing a superior combined...

Persistent link: https://www.econbiz.de/10013120293

Estimating Global Bank Network Connectedness

Demirer, Mert - 2017

the world's top 150 banks, 2003-2014. We characterize static network connectedness using full-sample estimation and … dynamic network connectedness using rolling-window estimation. Statically, we find that global bank equity connectedness has a …

Persistent link: https://www.econbiz.de/10012963187

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Andersen, Torben G. - 2005

What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in...

Persistent link: https://www.econbiz.de/10012784980

Measuring Gentrification : Using Yelp Data to Quantify Neighborhood Change

Glaeser, Edward L. - 2018

We demonstrate that data from digital platforms such as Yelp have the potential to improve our understanding of gentrification, both by providing data in close to real time (i.e. nowcasting and forecasting) and by providing additional context about how the local economy is changing. Combining...

Persistent link: https://www.econbiz.de/10012911707