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Forecasting Random Walks Under Drift Instability
Pesaran, M. Hashem - 2011
This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … estimation windows leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks …
Persistent link: https://www.econbiz.de/10012756639
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Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate
Caporale, Guglielmo Maria - 2013
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10013082343
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Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks
Caporale, Guglielmo Maria; Cunado, Juncal; Gil-Alana, … - 2021
This paper considers a general model which allows for both deterministic and stochastic forms of seasonality, including fractional (stationary and nonstationary) orders of integration, and also incorporating endogenously determined structural breaks. Monte Carlo analysis shows that the suggested...
Persistent link: https://www.econbiz.de/10013317060
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A Multivariate Long-Memory Model with Structural Breaks
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2021
This paper introduces a multivariate long-memory model with structural breaks. In the proposed framework, time series exhibit possibly fractional orders of integration which are allowed to be different in each subsample. The break date is endogenously determined using a procedure which minimises...
Persistent link: https://www.econbiz.de/10013317169
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Which Sectors of a Modern Economy are Most Central?
Bloechl, Florian - 2010
We analyze input-output matrices for a wide set of countries as weighted directed networks. These graphs contain only 47 nodes, but they are almost fully connected and many have nodes with strong self-loops. We apply two measures: random walk centrality and one based on count-betweenness. Our...
Persistent link: https://www.econbiz.de/10013137865
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Cointegration Analysis with Mixed-Frequency Data
Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2021
maximum likelihood estimation of the parameters in the model, we use an expectation maximization algorithm based on the state …
Persistent link: https://www.econbiz.de/10013317180
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Model Averaging in Risk Management with an Application to Futures Markets
Pesaran, M. Hashem; Schleicher, Christoph; Zaffaroni, Paolo - 2021
This paper considers the problem of model uncertainty in the case of multi-asset volatility models and discusses the … management. Evaluation of volatility models is then considered and a simple Value-at-Risk (VaR) diagnostic test is proposed for …
Persistent link: https://www.econbiz.de/10013316571
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Manipulating Fiscal Forecasts : Evidence from the German States
Kauder, Bjoern - 2017
We examine whether German state governments manipulated fiscal forecasts before elections. Our data set includes three fiscal measures over the period 1980-2014. The results do not show that electoral motives influenced fiscal forecasts in West German states. By contrast, East German state...
Persistent link: https://www.econbiz.de/10012962666
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Forecasting Tail Risks
De Nicolo, Gianni - 2015
(systemic) risks. Forecasts are obtained from: (a) autoregressive and factor-augmented VARs with linear GARCH volatility (FAVARs …
Persistent link: https://www.econbiz.de/10013024363
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Assets Returns Volatility and Investment Horizon : The French Case
Bec, Frederique - 2009
conditional volatility across investment horizons. The results reveal the same kind of horizon effect as the one found in recent …
Persistent link: https://www.econbiz.de/10013160520