Similar Search Results

Prediction and Simulation Using Simple Models Characterized by Nonstationarity and Seasonality

Swanson, Norman; Urbach, Richard - Department of Economics, Rutgers University-New Brunswick - 2013

importance of both choice of forecast or simulation horizon and choice between minimizing point or distribution based loss … measures. Our empirical analysis centers around the implementation of a series of simulation and prediction experiments, as … in setting U.S. monetary policy, and our simulation experiments are based on a comparison of simulated and historical …

Persistent link: https://www.econbiz.de/10010797428

Modeling and forecasting realized range volatility

Caporin, Massimiliano; Velo, Gabriel G. - Dipartimento di Scienze Economiche "Marco Fanno", … - 2011

In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the quadratic variation of financial prices. This estimator was early introduced in the literature and it is based on the high-low range observed at high frequency during the day. We...

Persistent link: https://www.econbiz.de/10009021695

Is More Data Better?.

Mitra, K. - Politiikan ja Talouden Tutkimuksen Laitos, … - 1999

Convention wisdom usually suggests that agents should use all the data they have to make the best possible prediction. In this paper it is shown that agents may sometimes be able to make better predictions by throwing away data. The optimality criterion agents adopt is the mean squared criterion.

Persistent link: https://www.econbiz.de/10005660921

Forecasting economic crisis using gradient measurement of development and log-logistic function

Siedlecki, Rafal; Papla, Daniel - In: Business and Economic Horizons (BEH) 9 (2013) 3, pp. 28-40

This paper shows that regardless of how good the economic situation is, sooner or later certain difficulties will appear. Hence, the idea has emerged to give the analytical form to the logistic law based gradient measurement (synthetic measure) of selected financial data, which enables...

Persistent link: https://www.econbiz.de/10010781937

Forecasts with single-equation Markov-switching model: an application to the gross domestic product of Latvia

Bušs, Ginters - Volkswirtschaftliche Fakultät, … - 2010

The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single-equation Markov-switching (MS) models for two cases: when leading information is available and when it is not. The results show that single-equation MS models tend to perform...

Persistent link: https://www.econbiz.de/10008541474

An In-Sample and Out-of-Sample Empirical Investigation of the Nonlinearity in House Prices of South Africa

Balcilar, Mehmet; Gupta, Rangan; Shah, Zahra - Department of Economics, Faculty of Economic and … - 2010

This paper first tests if housing prices in the five segments of the South African housing market, namely, large-middle, medium-middle, small-middle, luxury and affordable, exhibits non-linearity based on smooth transition autoregressive (STAR) models estimated using quarterly data covering the...

Persistent link: https://www.econbiz.de/10008486900

Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn

Bušs, Ginters - Volkswirtschaftliche Fakultät, … - 2009

Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag (ADL) model is chosen. The results show that a...

Persistent link: https://www.econbiz.de/10005103392

Variance, Return, and High-Low Price Spreads

Lin, Ji-Chai - 2007

We report three new findings that rely upon the high-low price range as an estimate of stock return variance. The predictability of variance is associated with persistence in high prices and with correlated shocks to high and low prices. Excess stock returns are positively related to anticipated...

Persistent link: https://www.econbiz.de/10012778479

Measuring and Modeling Risk Using High-Frequency Data

Härdle, Wolfgang - 2008

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management. The recent availability of high-frequency data allows for refined methods in this field. In particular, more precise measures for the daily or lower frequency volatility can be...

Persistent link: https://www.econbiz.de/10012723549

A Forecast Comparison of Volatility Models : Does Anything Beat a Garch(1,1)?

Hansen, Peter Reinhard - 2004

We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM-$ exchange rate data and IBM return data, where the latter is based on a new data set of realized variance. We find no evidence that a GARCH(1,1) is...

Persistent link: https://www.econbiz.de/10012739179