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Large mixed-frequency VARs with a parsimonious time-varying parameter structure

Götz, Thomas B.; Hauzenberger, Klemens - 2018

To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...

Persistent link: https://www.econbiz.de/10011903709

Forecast-error-based estimation of forecast uncertainty when the horizon is increased

Knüppel, Malte - 2014

forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be …

Persistent link: https://www.econbiz.de/10010465566

Addressing COVID-19 outliers in BVARs with stochastic volatility

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2022

The COVID-19 pandemic has led to enormous data movements that strongly affect parameters and forecasts from standard VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine transitory and persistent changes in volatility. The resulting...

Persistent link: https://www.econbiz.de/10013184356

Google data in bridge equation models for German GDP

Götz, Thomas B.; Knetsch, Thomas A. - 2017

There has been increased interest in the use of "big data" when it comes to forecasting macroeconomic time series such as private consumption or unemployment. However, applications on forecasting GDP are rather rare. In this paper we incorporate Google search data into a Bridge Equation Model, a...

Persistent link: https://www.econbiz.de/10011667109

Bayesian VARs and prior calibration in times of COVID-19

Hartwig, Benny - 2022

This paper investigates the ability of several generalized Bayesian vector autoregressions to cope with the extreme COVID-19 observations and discusses their impact on prior calibration for inference and forecasting purposes. It shows that the preferred model interprets the pandemic episode as a...

Persistent link: https://www.econbiz.de/10013472790

Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate

Balaban, Ercan - 1999

Persistent link: https://www.econbiz.de/10001399838

Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets

Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - 1999

Persistent link: https://www.econbiz.de/10001399859

Estimation of linear and non-linear indicators using interval censored income data

Walter, Paul; Groß, Markus; Schmid, Timo; Tzavidis, Nikos - 2017

Among a variety of small area estimation methods, one popular approach for the estimation of linear and non …-linear indicators is the empirical best predictor. However, parameter estimation using standard maximum likelihood methods is not … is often the case for income variables. Therefore, this work proposes an estimation method, which enables the estimation …

Persistent link: https://www.econbiz.de/10011703587

Delta-neutral volatility trading with intra-day prices : an application to options on the DAX

Schmitt, Christian; Kaehler, Jürgen - 1996

This paper evaluates the profitability of applying four different volatility forecasting models to the trading of straddles on the German stock market index DAX. Special care has been taken to use simultaneous intra-day prices and realistic transaction costs. Furthermore, straddle positions were...

Persistent link: https://www.econbiz.de/10011622744

Delta-neutral volatility trading with intra-day prices : an application to options on the DAX

Schmitt, Christian; Kähler, Jürgen - 1996

Persistent link: https://www.econbiz.de/10013428096