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Exchange rate predictability
Rossi, Barbara - Department of Economics and Business, Universitat … - 2013
article provides a critical review of the recent literature on exchange rate forecasting and illustrates the new methodologies …
Persistent link: https://www.econbiz.de/10010849598
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Factor Analysis of a Large DSGE Model
ONATSKI, Alexei; RUGE-MURCIA, Francisco J. - Département de Sciences Économiques, Université de … - 2010
We study the workings of the factor analysis of high-dimensional data using artificial series generated from a large, multi-sector dynamic stochastic general equilibrium (DSGE) model. The objective is to use the DSGE model as a laboratory that allows us to shed some light on the practical...
Persistent link: https://www.econbiz.de/10010933690
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Real-time price discovery in stock, bond and foreign exchange markets
Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004
We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean...
Persistent link: https://www.econbiz.de/10010958800
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Commodity Price Fluctuations: A Century of Analysis
Labys, Walter - Regional Research Institute (RRI), West Virginia University - 2005
analyzing commodity markets and prices and to solving price forecasting problems, concentrating on more recent advances in …
Persistent link: https://www.econbiz.de/10010929304
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A New Monthly Indicator of Global Real Economic Activity
Ravazzolo, Francesco; Vespignani, Joaquin L. - Norges Bank - 2015
In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely the Kilian's index of global real economic activity and the index of OECD...
Persistent link: https://www.econbiz.de/10011277157
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Portfolio optimization using a parsimonious multivariate GARCH model: application to the Brazilian stock market
Caldeira, João; Moura, Guilherme; Santos, André A.P. - In: Economics Bulletin 32 (2012) 3, pp. 1848-1857
We apply a parsimonious multivariate GARCH specication based on the Fama-French-Carhart factor model to generate high-dimensional conditional covariance matrices and to obtain shortselling-constrained and unconstrained minimum variance portfolios. An application involving 61 stocks traded on the...
Persistent link: https://www.econbiz.de/10011278887
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Prediction Markets for Economic Forecasting
Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - Institute for the Study of Labor (IZA) - 2012
Prediction markets – markets used to forecast future events – have been used to accurately forecast the outcome of political contests, sporting events, and, occasionally, economic outcomes. This chapter summarizes the latest research on prediction markets in order to further their...
Persistent link: https://www.econbiz.de/10011252271
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An Econometric Study of Dynamic Models with Application on Forecasting Labor in Egypt
Khaleel, Tarek Mohamed; Shehata, Emad Abd Elmessih - Volkswirtschaftliche Fakultät, … - 2004
There are many econometric methods for forecasting by different economic variables in the future. recently, the … procedures of dynamic forecasting either for univariate or multivariate models were available for estimation on the software … models, with respect to, estimation, choosing the best fit model for forecasting by the economic variables, i.e., labor and …
Persistent link: https://www.econbiz.de/10011260069
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A New Monthly Indicator of Global Real Economic Activity
Ravazzolo, Francesco; Vespignani, Joaquin L. - Crawford School of Public Policy, Australian National … - 2015
In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely the Kilian’s index of global real economic activity and the index of OECD...
Persistent link: https://www.econbiz.de/10011265853
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On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecasting
Chevallier, Julien; Sévi, Benoît - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2009
The recent implementation of the EU Emissions Trading Scheme (EU ETS) in January 2005 created new financial risks for emitting firms. To deal with these risks, options are traded since October 2006. Because the EU ETS is a new market, the relevant underlying model for option pricing is still a...
Persistent link: https://www.econbiz.de/10005078954