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Macro-Financial Linkages in the High-Frequency Domain : The Effects of Uncertainty on Realized Volatility

Caporale, Guglielmo Maria - 2020

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

Persistent link: https://www.econbiz.de/10012844423

Persistence in High Frequency Financial Data

Caporale, Guglielmo Maria; Plastun, Alex - 2022

This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...

Persistent link: https://www.econbiz.de/10014242794

Predictability of Bull and Bear Markets : A New Look at Forecasting Stock Market Regimes (and Returns) in the Us

Haase, Felix; Neuenkirch, Matthias - 2021

The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...

Persistent link: https://www.econbiz.de/10013250734

Heterogeneous Autoregressions in Short T Panel Data Models

Pesaran, M. Hashem; Yang, Liying - 2023

This paper considers a ﬁrst-order autoregressive panel data model with individual-speciﬁc eﬀects and a heterogeneous autoregressive coeﬃcient. It proposes estimators for the moments of the cross-sectional distribution of the autoregressive coeﬃcients, with a focus on the ﬁrst two...

Persistent link: https://www.econbiz.de/10014347822

Real-Time Forecasting Using Mixed-Frequency Vars with Time-Varying Parameters

Heinrich, Markus - 2020

by evaluating a mixed-frequency time-varying parameter VAR with stochastic volatility (MF-TVP-SV-VAR). Overall, the MF …

Persistent link: https://www.econbiz.de/10012842676

Exponent of Cross-Sectional Dependence for Residuals

Bailey, Natalia - 2018

In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α; which is based on the number of non-zero pair-wise...

Persistent link: https://www.econbiz.de/10012908680

Modelling Profitability of Private Equity : A Fractional Integration Approach

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; … - 2022

This paper analyses the stochastic behaviour of Private Equity returns (a measure of profitability) applying fractional integration methods to an extensive dataset including quarterly data spanning the last four decades for various geographical areas (US, Europe, Asia/Pacific, the Rest of the...

Persistent link: https://www.econbiz.de/10014080230

Imputing Monthly Values for Quarterly Time Series. An Application Performed with Swiss Business Cycle Data

Abberger, Klaus; Graff, Michael; Müller, Oliver; … - 2023

This paper documents a comparative application of algorithms to deal with the problem of missing values in higher frequency data sets. We refer to Swiss business tendency survey (BTS) data which are conducted in both monthly and quarterly frequency, where an information sub-set is collected at...

Persistent link: https://www.econbiz.de/10014262560

Non-Linearities and Persistence in US Long-Run Interest Rates

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; … - 2021

This note examines the stochastic behaviour of US monthly 10-year government bond yields. Specifically, it estimates a fractional integration model suitable to capture both persistence and non-linearities, these being two important properties of interest rates. Two series are analysed, one from...

Persistent link: https://www.econbiz.de/10013314848

Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity

Lahiri, Kajal; Peng, Huaming; Sheng, Xuguang - 2021

the disagreement among the forecasters plus the volatility of the common shock. Using new statistics to test for the …

Persistent link: https://www.econbiz.de/10013251262

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