Narrow search
Showing 1 - 10 of 262
Cover Image
Nowcasting and forecasting economic growth in the Euro area using principal components
Hindrayanto, Irma; Koopman, Siem Jan; Winter, Jasper de - 2014
Many empirical studies have shown that factor models produce relatively accurate forecasts compared to alternative short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and different forecast horizons. However, various specifications...
Persistent link: https://www.econbiz.de/10010395082
Cover Image
Unobserved components with stochastic volatility in U.S. inflation : estimation and signal extraction
Li, Mengheng; Koopman, Siem Jan - 2018
We consider unobserved components time series models where the components are stochastically evolving over time and are subject to stochastic volatility. It enables the disentanglement of dynamic structures in both the mean and the variance of the observed time series. We develop a simulated...
Persistent link: https://www.econbiz.de/10011809984
Cover Image
Discrete versus continuous state switching models for portfolio credit risk
Lucas, André; Klaassen, Pieter - 2003
Dynamic models for credit rating transitions are important ingredients for dynamic credit risk analyses. We compare the properties of two such models that have recently been put forward. The models mainly differ in their treatment of systematic risk, which can be modeled either using discrete...
Persistent link: https://www.econbiz.de/10011334358
Cover Image
Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation
Callot, Laurent; Kristensen, Johannes Tang - 2015
This paper shows that the parsimoniously time-varying methodology of Callot and Kristensen (2015) can be applied to factor models. We apply this method to study macroeconomic instability in the US from 1959:1 to 2006:4 with a particular focus on the Great Moderation. Models with parsimoniously...
Persistent link: https://www.econbiz.de/10010532582
Cover Image
Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik; Markwat, Thijs; Opschoor, Anne; Dijk, Dick van - 2015
We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a … horizon of ten trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts … that the degree of temporal aggregation is most important. Daily returns form the best basis for VaR forecasts. Modelling …
Persistent link: https://www.econbiz.de/10011431503
Cover Image
An hourly periodic state space model for modelling French national electricity load
Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - 2008
We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...
Persistent link: https://www.econbiz.de/10011373810
Cover Image
Out-of-sample comparison of copula specifications in multivariate density forecasts
Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10011377261
Cover Image
Forecasting day-ahead electricity prices : utilizing hourly prices
Raviv, Eran; Bouwman, Kees E.; Dijk, Dick van - 2013
Persistent link: https://www.econbiz.de/10009765836
Cover Image
Risk modelling and management : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013
Persistent link: https://www.econbiz.de/10009767001
Cover Image
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Asai, Manabu; McAleer, Michael - 2014
Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....
Persistent link: https://www.econbiz.de/10010259630