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suboptimal for forecasting purposes. The paper proposes the use of a class of shrinkage estimators that includes the Ridge … estimator for forecasting time series, with a special attention to GARCH and ACD models. The local large sample properties of …-daily financial durations forecasting application. The empirical application shows that an appropriate shrinkage forecasting …
Persistent link: https://www.econbiz.de/10005075728
The Multiplicative Error Model introduced by Engle (2002) for non-negative valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with positive support. In this paper we propose a multivariate extension of such a model, by taking...
Persistent link: https://www.econbiz.de/10005731544
This paper assesses the performance of volatility forecasting using focused selection and combination strategies to … include relevant explanatory variables in the forecasting model. The focused selection/combination strategies consist of … BIC. The methodology is applied to a daily recursive 1--step ahead value--at--risk (VaR) forecasting exercise of 4 widely …
Persistent link: https://www.econbiz.de/10005731546
ETFs shows that the proposed methodology is able to significantly outperform common forecasting methods and delivers …
Persistent link: https://www.econbiz.de/10008567867
Long memory in conditional variance is one of the empirical features of most financial time series. One class of models that was suggested to capture this behavior refers to the so-called Fractionally Integrated GARCH processes (Baillie, Bollerslev and Mikkelsen 1996) in which the ideas of...
Persistent link: https://www.econbiz.de/10005731538
We analyze several measures of volatility (realized variance, bipower variation and squared daily returns) as estimators of integrated variance of a continuous time stochastic process for an asset price. We use a Multiplicative Error Model to describe the evolution of each measure as the product...
Persistent link: https://www.econbiz.de/10005812866
Persistent link: https://www.econbiz.de/10008509948
In this paper we address the issue of forecasting Value–at–Risk (VaR) using different volatility measures: realized …
Persistent link: https://www.econbiz.de/10005075734
The frequency of crashes and the magnitude of crises in international financial markets are growing more severe over time. Recent financial crises are not singular events portrayed in recent accounts, rather, they erupt in circumstances that are very similar to the economic and financial...
Persistent link: https://www.econbiz.de/10005687785
La psicologia mostra che la probabilità soggettiva associata ad eventi economici futuri viene distorta in modo sistematico, rispetto a quella oggettiva, da elementi psicologici diffusi e persistenti. Lo stesso vale per l'interpretazione retrospettiva dei fatti economici. In particolare, si...
Persistent link: https://www.econbiz.de/10005061461