We propose a tree-structured heterogeneous autoregressive (tree-HAR) process as a simple and parsimonious model for the estimation and prediction of tick-by-tick realized correlations. The model can account for different time and other relevant predictors' dependent regime shifts in the...

This paper presents two classes of tick-by-tick covariance estimators adapted to the case of rounding in the price time stamps to a frequency lower than the typical arrival rate of tick prices. We investigate, through Monte Carlo simulations, the behavior of such estimators under realistic...

The effects of temporal aggregation on asymmetry properties and the kurtosis of returns based on the NYSE composite index are studied. There is less asymmetry in responses to shocks for weekly and monthly frequencies than for the daily frequency. Kurtosis is not smaller for the lower frequencies

We first propose a reduced-form model in discrete time for Samp;P500 volatility showing that the forecasting performance of a volatility model can be significantly improved by introducing a persistent leverage effect with a long-range dependence similar to that of volatility itself. We also find...

In this paper a new multivariate volatility model is proposed. It combines the appealing properties of the stable Paretian distribution to model the heavy tails with the GARCH model to capture the volatility clustering. We assume that multivariate asset-returns of financial stocks follow a...

El objetivo de este documento es presentar un conjunto de alternativas metodológicas paraestimar el producto interno bruto potencial mediante la aplicación de cincos metodologías,entre las cuales podemos citar: un modelo VAR estructural con restricciones de largo plazotipo Blanchard y Quah,...

This thesis consists of four self-contained papers related to banking, credit markets and financial stability. Paper [I] presents a credit market model and finds, using an agent based modeling approach, that credit crunches have a tendency to occur; even when credit markets are almost entirely...

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk...

This paper proposes a measure of real-time inflation expectations based on metadata, i.e., data about data, constructed from internet search queries performed on the search engine Google. The forecasting performance of the Google Inflation Search Index (GISI) is assessed relative to 37 other...

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...