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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
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 transmission mechanisms of volatility between markets can be characterized within a new Markov Switching bivariate model where the state of one variable feeds into the transition probability of the state of the other. A number of model restrictions and hypotheses can be tested to stress the...
Persistent link: https://www.econbiz.de/10005731535
Multiplicative Error Models (MEM) can be used to trace the dynamics of non–negative valued processes. Interactions between several such processes are accommodated by the vector MEM and estimated by maximum likelihood (Gamma marginals with copula functions) or by Generalized Method of Moments....
Persistent link: https://www.econbiz.de/10005731539
In financial time series analysis we encounter several instances of non–negative valued processes (volumes, trades, durations, realized volatility, daily range, and so on) which exhibit clustering and can be modeled as the product of a vector of conditionally autoregressive scale factors and a...
Persistent link: https://www.econbiz.de/10005731543
ETFs shows that the proposed methodology is able to significantly outperform common forecasting methods and delivers …
Persistent link: https://www.econbiz.de/10008567867
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
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
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
Persistent link: https://www.econbiz.de/10009306928