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Forecasting Interest Rates with Shifting Endpoints
van Dijk, Dick J. C. - 2014
Existing studies on interest rate forecasting either treat yields as being stationary around a fixed mean or as a random walk process. In this study we consider forecasting the term structure of interest rates with the assumption that the yield curve is driven by factors that are stationary...
Persistent link: https://www.econbiz.de/10013065800
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Bayesian Risk Forecasting for Long Horizons
Borowska, Agnieszka - 2019
We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and Expected Shortfall, for a given volatility model. We obtain precise forecasts of the tail of the distribution of returns not only for the 10-days-ahead horizon required by the...
Persistent link: https://www.econbiz.de/10012891913
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A time-varying parameter model for local explosions
Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc - 2018
Locally explosive behavior is observed in many economic and financial time series when bubbles are formed. We introduce a time-varying parameter model that is capable of describing this behavior in time series data. Our proposed model can be used to predict the emergence, existence and burst of...
Persistent link: https://www.econbiz.de/10011928329
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Forecasting daily time series using periodic unobserved components time series models
Koopman, Siem Jan; Ooms, Marius - 2004
Persistent link: https://www.econbiz.de/10002503685
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Model-based measurement of actual volatility in high-frequency data
Jungbacker, Borus; Koopman, Siem Jan - 2006
Persistent link: https://www.econbiz.de/10003331376
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Forecasting macroeconomic variables using collapsed dynamic factor analysis
Bräuning, Falk; Koopman, Siem Jan - In: International journal of forecasting 30 (2014) 3, pp. 572-584
Persistent link: https://www.econbiz.de/10010513606
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An hourly periodic state space model for modelling French national electricity load
Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - 2008
We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...
Persistent link: https://www.econbiz.de/10011373810
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Likelihood-based analysis for dynamic factor models
Jungbacker, Borus; Koopman, Siem Jan - 2008
We present new results for the likelihood-based analysis of the dynamic factor model that possibly includes intercepts and explanatory variables. The latent factors are modelled by stochastic processes. The idiosyncratic disturbances are specified as autoregressive processes with mutually...
Persistent link: https://www.econbiz.de/10011373811
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Forecasting cross-sections of frailty-correlated default
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2008
We propose a novel econometric model for estimating and forecasting cross-sections of time-varying conditional default probabilities. The model captures the systematic variation in corporate default counts across e.g. rating and industry groups by using dynamic factors from a large panel of...
Persistent link: https://www.econbiz.de/10011374412
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Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements
Koopman, Siem Jan; Jungbacker, Borus; Hol Uspensky, Eugenie - 2004
index series for which trading data (tick by tick) of almost seven years is analysed. The forecast assessment is based on … the hypothesis of whether a forecast model is outperformed by alternative models. In particular, we will use superior … predictive ability tests to investigate the relative forecast performances of some models. Since volatilities are not observed …
Persistent link: https://www.econbiz.de/10011334848