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Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data
Matei, Marius - In: Journal for Economic Forecasting (2011) 2, pp. 116-141
The current work undertakes an overview of the forecasting volatility with high frequency data topic, attempting to … explains why forecasting of volatility is more effective when the model contains a measure of intraday data. A discrete and a … is considered. Details on procedures employed in the literature with respect to modeling and forecasting using realized …
Persistent link: https://www.econbiz.de/10009151358
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Perspectives on risk measurement: a critical assessment of PC-GARCH against the main volatility forecasting models
Matei, Marius - In: Journal for Economic Forecasting (2012) 1, pp. 95-115
The paper makes a critical assessment of the Principal Components-GARCH (PC-GARCH) model and argues why, when dealing with hundreds or thousands of variables, this model comes up as the most appropriate to be used. The suitability originates from the perspective of quality/cost ratio of...
Persistent link: https://www.econbiz.de/10010553158
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Price Volatility Forecast for Agricultural Commodity Futures： The Role of High Frequency Data
Huang, Wen; Huang, Zhuo; Matei, Marius; Wang, Tianyi - In: Journal for Economic Forecasting (2012) 4, pp. 83-103
Realized measures of volatility based on high frequency data contain valuable information about the unobserved conditional volatility. In this paper, we use the Realized GARCH model developed by Hansen, Huang and Shek (2012) to estimate and forecast price volatility for four agricultural...
Persistent link: https://www.econbiz.de/10010604361
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QUARTERLY GDP DATA CORRECTION USING PRINCIPAL COMPONENTS ANALYSIS. THE CASE OF THE ROMANIAN ECONOMY – GDP EXPENDITURES SIDE*
Klein, Lawrence R.; Roudoi, Andrei; Eskin, Vladimir; … - In: Journal for Economic Forecasting 1 (2004) 5, pp. 5-34
The paper estimates a medium-term forecasting model used to generate short-term series of the quarterly GDP. The GDP … research partners of this project were Global Insight (former DRI-WEFA – USA), the Institute of Economic Forecasting (Romania …) and the Center for Macroeconomic Analysis and Short-term Economic Forecasting (Russian Federation). This publication was …
Persistent link: https://www.econbiz.de/10005827560
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PRINCIPAL COMPONENTS MODEL OF THE ROMANIAN ECONOMY. GDP – PRODUCTION SIDE*
Klein, Lawrence R.; Roudoi, Andrei; Eskin, Vladimir; … - In: Journal for Economic Forecasting 1 (2004) 5, pp. 52-66
The paper estimates a medium-term forecasting model used to generate short-term series of the quarterly GDP. The GDP … of this project were Global Insight (former DRI-WEFA – USA), the Institute of Economic Forecasting (Romania) and the … Center for Macroeconomic Analysis and Short-term Economic Forecasting (Russian Federation). This publication was made …
Persistent link: https://www.econbiz.de/10005827562
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PRINCIPAL COMPONENTS MODEL OF THE ROMANIAN ECONOMY. STUDY OF THE OIL PRICE IMPACT UPON GDP*
Klein, Lawrence R.; Roudoi, Andrei; Eskin, Vladimir; … - In: Journal for Economic Forecasting 1 (2004) 5, pp. 67-80
research partners of this project were Global Insight (former DRI-WEFA – USA), the Institute of Economic Forecasting (Romania …) and the Center for Macroeconomic Analysis and Short-term Economic Forecasting (Russian Federation). This publication was …
Persistent link: https://www.econbiz.de/10005772665
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Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead
Matei, Marius - In: Journal for Economic Forecasting (2009) 4, pp. 42-65
The paper provides a critical assessment of the main forecasting techniques and an evaluation of the superiority of the …
Persistent link: https://www.econbiz.de/10008561099