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Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep; Swanson, Norman R. - 2013
Many recent modelling advances in finance topics ranging from the pricing of volatility-based derivative products to asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a number of recent papers have addressed volatility...
Persistent link: https://www.econbiz.de/10009771770
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A High-Low Model of Daily Stock Price Ranges
Cheung, Stephen Yan-Leung - 2015
We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...
Persistent link: https://www.econbiz.de/10012707381
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Forecasting Volatility Using Double Shrinkage Methods
Cheng, Mingmian - 2019
In this paper, we propose and evaluate a shrinkage based methodology that is designed to improve the accuracy of forecasts of daily integrated volatility. Our approach is based on a two-step shrinkage procedure designed to extract latent common volatility factors from a large dimensional and...
Persistent link: https://www.econbiz.de/10012864374
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A Model Selection Approach to Real-Time Macroeconomic Forecasting Using Linear Models and Artificial Neural Networks
Swanson, Norman R.; White, Jr., Halbert L. - 2004
We take a model selection approach to the question of whether a class of adaptive prediction models (artificial neural networks) is useful for predicting future values of nine macroeconomic variables. We use a variety of out-of-sample forecast-based model selection criteria, including forecast...
Persistent link: https://www.econbiz.de/10014066021
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Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction
Duong, Diep - 2013
Many recent modelling advances in finance topics ranging from the pricing of volatility-based derivative products to asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a number of recent papers have addressed volatility...
Persistent link: https://www.econbiz.de/10013078565
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Technical Appendix to Consistent Estimation, Variable Selection, and Forecasting in FAVAR Models
Chao, John C.; Swanson, Norman R. - 2022
Proofs to lemmas and theorems used in Consistent Estimation, Variable Selection, and Forecasting in Factor …
Persistent link: https://www.econbiz.de/10013306503
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Consistent Estimation, Variable Selection, and Forecasting in FAVAR Models
Chao, John C.; Swanson, Norman R. - 2022
the relevant variables in the data set. We show that, even in such a setting, consistent factor estimation can be achieved … consistent estimation is precluded in the absence of variable pre-screening …
Persistent link: https://www.econbiz.de/10013306504
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Prediction and simulation using simple models characterized by nonstationarity and seasonality
Swanson, Norman R.; Urbach, Richard - 2013
estimation error is crucial to understanding the empirical performance of such models. This "parameter estimation error" result …
Persistent link: https://www.econbiz.de/10009777938
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Mining big data using parsimonious factor and shrinkage methods
Kim, Hyun Hak; Swanson, Norman R. - 2013
component analysis (SPCA), coupled with a variety of other factor estimation as well as data shrinkage methods, including … estimation of 28 different baseline model types, each constructed using a variety of specification approaches, estimation … our "horse-race" numerous complex new models involve combining complicated factor estimation methods with interesting new …
Persistent link: https://www.econbiz.de/10009766687
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Testing for structural stability of factor augmented forecasting models
Corradi, Valentina; Swanson, Norman R. - 2013
, does not affect the estimation of the number of factors, nor subsequent estimation of the factors themselves (see e …
Persistent link: https://www.econbiz.de/10009766692