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Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2014

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

Persistent link: https://www.econbiz.de/10011272575

Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility

Hol, Eugenie; Koopman, Siem Jan - Tinbergen Instituut - 2000

returns and intradaily squared returns for forecasting horizons rangingfrom 1 to 10 days. For the daily squared returns we …

Persistent link: https://www.econbiz.de/10011255461

Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice

Callot, Laurent; Kock, Anders B.; Medeiros, Marcelo C. - Tinbergen Instituut - 2014

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector …

Persistent link: https://www.econbiz.de/10011256058

Realized Volatility Risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - Tinbergen Instituut - 2013

forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation …

Persistent link: https://www.econbiz.de/10011256164

Forecasting Productivity Using Information from Firm-Level Data

Bartelsman, Eric J.; Wolf, Zoltán - Tinbergen Institute - 2009

explores various specifications of decompositions and various forecasting experiments. The result from these horse-races is … for richer forecasting specifications, the paper shows, using Bayesian model averaging techniques (BMA), that the …

Persistent link: https://www.econbiz.de/10005016264

Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment

Koopman, Siem Jan; Ooms, Marius; Hindrayanto, Irma - Tinbergen Institute - 2006

This paper discusses identification, specification, estimation and forecasting for a general class of periodic … formulations are introduced for exact maximum likelihood estimation, component estimation and forecasting. Identification issues …

Persistent link: https://www.econbiz.de/10005137026

Examining the Nelson-Siegel Class of Term Structure Models

Pooter, Michiel De - Tinbergen Institute - 2007

forecasting the term structure of interest rates. As expected, I find that using more flexible models leads to a better in …

Persistent link: https://www.econbiz.de/10005137361

Likelihood-based Analysis for Dynamic Factor Models

Jungbacker, Borus; Koopman, Siem Jan - Tinbergen Institute - 2008

We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...

Persistent link: https://www.econbiz.de/10005137376

The Power of Weather: Some Empirical Evidence on Predicting Day-ahead Power Prices through Day-ahead Weather Forecasts

Huurman, Christian; Ravazzolo, Francesco; Zhou, Chen - Tinbergen Institute - 2007

wholesale power markets have only recently been deregulated. We introduce the weather factor into well-known forecasting models …

Persistent link: https://www.econbiz.de/10005504905

An Alternative Bayesian Approach to Structural Breaks in Time Series Models

Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick J.C. van - Tinbergen Institute - 2011

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

Persistent link: https://www.econbiz.de/10008838634