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A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors
Atak, Alev; Kapetanios, George - In: Economics Letters 120 (2013) 2, pp. 224-228
There is a growing literature on the realized volatility (RV) forecasting of asset returns using high-frequency data. We explore the possibility of forecasting RV with factor analysis; once considering the significant jumps. A real high-frequency financial data application suggests that the...
Persistent link: https://www.econbiz.de/10010678826
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Forecasting with dynamics models using shrinkage-based estimation
Carriero, Andrea; Kapetanios, George; Marcellino, … - 2008
The paper provides a proof of consistency of the ridge estimator for regressions where the number of regressors tends to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests that shrinkage autoregressive models can lead to very substantial...
Persistent link: https://www.econbiz.de/10010280764
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A review of forecasting techniques for large data sets
Eklund, Jana; Kapetanios, George - 2008
This paper provides a review which focuses on forecasting using statistical/econometric methods designed for dealing with large data sets.
Persistent link: https://www.econbiz.de/10010284149
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Revisiting useful approaches to data-rich macroeconomic forecasting
Groen, Jan J. J.; Kapetanios, George - 2008
This paper revisits a number of data-rich prediction methods, like factor models, Bayesian ridge regression and … usually has the best out-of-sample performance relative to the two other data-rich prediction methods. …
Persistent link: https://www.econbiz.de/10010284202
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Revisiting useful approaches to data-rich macroeconomic forecasting
Groen, Jan J. J.; Kapetanios, George - 2008
We compare a number of data-rich prediction methods that are widely used in macroeconomic forecasting with a lesser …
Persistent link: https://www.econbiz.de/10010287052
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Forecasting with dynamics models using shrinkage-based estimation
Carriero, Andrea (contributor);  … - 2008
The paper provides a proof of consistency of the ridge estimator for regressions where the number of regressors tends to infinity. Such result is obtained without assuming a factor structure. A Monte Carlo study suggests that shrinkage autoregressive models can lead to very substantial...
Persistent link: https://www.econbiz.de/10003785003
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Revisiting useful approaches to data-rich macroeconomic forecasting
Groen, Jan J. J. (contributor);  … - 2008
We compare a number of data-rich prediction methods that are widely used in macroeconomic forecasting with a lesser …
Persistent link: https://www.econbiz.de/10003781548
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Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting
Groen, Jan J. - 2009
We compare a number of data-rich prediction methods that are widely used in macroeconomic forecasting with a lesser …
Persistent link: https://www.econbiz.de/10012720604
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Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting
Groen, Jan J.J.; Kapetanios, George - School of Economics and Finance, Queen Mary - 2008
This paper revisits a number of data-rich prediction methods, like factor models, Bayesian ridge regression and … usually has the best out-of-sample performance relative to the two other data-rich prediction methods. …
Persistent link: https://www.econbiz.de/10005106310
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A Review of Forecasting Techniques for Large Data Sets
Eklund, Jana; Kapetanios, George - School of Economics and Finance, Queen Mary - 2008
This paper provides a review which focuses on forecasting using statistical/econometric methods designed for dealing with large data sets.
Persistent link: https://www.econbiz.de/10005106367