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Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep; Swanson, Norman R. - 2013
forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …
Persistent link: https://www.econbiz.de/10010334248
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Forecasting the intraday market price of money
Monticini, Andrea; Ravazzolo, Francesco - 2014
of point and density forecasting. The relative accuracy is higher when the full distribution is predicted. We also …
Persistent link: https://www.econbiz.de/10011739584
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Forecasting with dynamics models using shrinkage-based estimation
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008
focusing on forecasting inflation and GDP growth in a panel of countries confirms this finding. …
Persistent link: https://www.econbiz.de/10010280764
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Fourth Order Pseudo Maximum Likelihood Methods
Holly, Alberto; Monfort, Alain; Rockinger, Michael - Finrisk - 2008
The objective of this paper is to extend the results on Pseudo Maximum Likelihood(PML) theory derived in Gourieroux, Monfort, and Trognon (GMT)(1984) to a situation where the rst four conditional moments are specied.Such an extension is relevant in light of pervasive evidence that conditional...
Persistent link: https://www.econbiz.de/10005868843
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Adaptive models and heavy tails
Delle Monache, Davide; Petrella, Ivan - 2014
This paper proposes a novel and flexible framework to estimate autoregressive models with time-varying parameters. Our setup nests various adaptive algorithms that are commonly used in the macroeconometric literature, such as learning-expectations and forgetting-factor algorithms. These are...
Persistent link: https://www.econbiz.de/10011380995
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Nowcasting de PIB: Evaluando las condiciones cíclicas de la economía argentina
D'Amato, Laura; Garegnani, Lorena; Blanco, Emilio - 2015
Persistent link: https://www.econbiz.de/10011417926
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Prediction and simulation using simple models characterized by nonstationarity and seasonality
Swanson, Norman; Urbach, Richard - 2013
In this paper, we provide new evidence on the empirical usefulness of various simple seasonal models, and underscore the importance of carefully designing criteria by which one judges alternative models. In particular, we underscore the importance of both choice of forecast or simulation horizon...
Persistent link: https://www.econbiz.de/10010334249
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Testing for structural stability of factor augmented forecasting models
2013
forecasting models are used widely for prediction, and it is important to understand when such models are stable. Now, forecast … factor augmented forecasting model regression coefficients. The proposed statistic is based on the difference between full … reject the null ensures the structural stability of the factor augmented forecasting model. If the null is instead rejected …
Persistent link: https://www.econbiz.de/10010334254
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Predictive inference for integrated volatility
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2006
In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric kernel estimators of the aforementioned...
Persistent link: https://www.econbiz.de/10010266344
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Predictive density estimators for daily volatility based on the use of realized measures
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2006
The main objective of this paper is to propose a feasible, model free estimator of the predictive density of integrated volatility. In this sense, we extend recent papers by Andersen, Bollerslev, Diebold and Labys (2003), and by Andersen, Bollerslev and Meddahi (2004, 2005), who address the...
Persistent link: https://www.econbiz.de/10010266347