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1
Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis
Caporale, Guglielmo Maria
;
Skare, Marinko
-
DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
-
2014
volatility
(d = 0.80) is also confirmed. …
Persistent link: https://www.econbiz.de/10010786996
Saved in:
2
Optimal Linear Filtering, Smoothing and Trend Extraction of M-Period Differences of Processes with a Unit Root
Thomakos, Dimitrios D.
-
2008
In this paper I consider the problem of optimal linear filtering, smoothing and trend extraction for m-period differences of processes with a unit root. Such processes arise naturally in economics and finance, in the form of rates of change (price inflation, economic growth, financial returns)...
Persistent link: https://www.econbiz.de/10012722695
Saved in:
3
Forecasting Daily Stock
Volatility
: the Role of Intraday Information and Market Conditions
Fuertes, Ana-Maria
-
2013
information. This paper compares four such estimators, realised
volatility
, realised range, realised power variation and realised … conditions analysis reveals that the additional use of intraday data on day t-1 to forecast
volatility
on day t is most …
Persistent link: https://www.econbiz.de/10012711112
Saved in:
4
Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang Karl
;
Hautsch, Nikolaus
;
Mihoci, Andrija
-
Center for Financial Studies
-
2009
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10010986387
Saved in:
5
Bayesian semiparametric multivariate GARCH modeling
Jensen, Mark J
;
Maheu, John M
-
University of Toronto, Department of Economics
-
2012
This paper proposes a Bayesian nonparametric modeling approach for the return distribution in multivariate GARCH models. In contrast to the parametric literature the return distribution can display general forms of asymmetry and thick tails. An infinite mixture of multivariate normals is given a...
Persistent link: https://www.econbiz.de/10010850125
Saved in:
6
Matrix Box-Cox Models for Multivariate Realized
Volatility
Weigand, Roland
-
Wirtschafts- und Sozialwissenschaftliche Fakultät, …
-
2014
We propose exible models for multivariate realized
volatility
dynamics which involve generalizations of the Box …
Persistent link: https://www.econbiz.de/10010904380
Saved in:
7
Risk Modeling and Management: An Overview
Chang, Chia-Lin
;
Allen, David E.
;
McAleer, Michael
; …
-
Department of Economics and Finance, College of …
-
2013
,
volatility
spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …
Persistent link: https://www.econbiz.de/10010907434
Saved in:
8
Forecasting Natural Population Change: the Case of Latvia
Melihovs, Aleksejs
-
Latvijas Banka
-
2014
The paper is devoted to the natural population change forecast in Latvia for the time horizon until 2030. The motivation for this paper is twofold. First, population ageing is an obvious problem for the whole EU with a tendency to worsen in the future. Second, historical population data have...
Persistent link: https://www.econbiz.de/10010944604
Saved in:
9
Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees
;
Panchenko, Valentyn
;
Dijk, Dick van
-
Tinbergen Instituut
-
2008
This discussion paper resulted in a publication in the <I>Journal of Economic Dynamics & Control</I>, 34(9), 1596-1609.<P> We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information...</p></i>
Persistent link: https://www.econbiz.de/10011256012
Saved in:
10
Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees
;
Panchenko, Valentyn
;
Dijk, Dick van
-
Tinbergen Institute
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10005144392
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