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Forecasting volatility under fractality, regime-switching, long memory and student-t innovations
Lux, Thomas; Morales-Arias, Leonardo - 2009
-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … (GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …
Persistent link: https://www.econbiz.de/10010265243
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Predicting real exchange rates from real interest rate differentials and net foreign asset stocks: evidence for the mark/dollar parity
Meier, Carsten-Patrick - 1999
When nontraded goods prices are accounted for consistently and genuine stock data on bilateral foreign asset holdings is employed, a modified sticky-price exchange rate model by far outperforms the benchmark random walk-model in empirically forecasting the D-mark/dollar parity out of sample....
Persistent link: https://www.econbiz.de/10010265449