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In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...
Persistent link: https://www.econbiz.de/10013149893
Macroeconomic forecasts are frequently produced, published, discussed and used. The formal evaluation of such forecasts … has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review … we analyse some recent developments from that perspective. The literature on forecast evaluation predominantly assumes …
Persistent link: https://www.econbiz.de/10008621804
formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has … evaluation predominantly assumes that macroeconomic forecasts are generated from econometric models. In practice, however, most … macroeconomic forecasts, such as those from the IMF, World Bank, OECD, Federal Reserve Board, Federal Open Market Committee (FOMC …
Persistent link: https://www.econbiz.de/10009002164
formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has … evaluation predominantly assumes that macroeconomic forecasts are generated from econometric models. In practice, however, most … macroeconomic forecasts, such as those from the IMF, World Bank, OECD, Federal Reserve Board, Federal Open Market Committee (FOMC …
Persistent link: https://www.econbiz.de/10009002678
DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. Analytical expressions for the news impact surface implied by the new model are also presented....
Persistent link: https://www.econbiz.de/10008739242
DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. Analytical expressions for the news impact surface implied by the new model are also presented....
Persistent link: https://www.econbiz.de/10008752709
Macroeconomic forecasts are frequently produced, published, discussed and used. The formal evaluation of such forecasts … has a long research history. Recently, a new angle to the evaluation of forecasts has been addressed, and in this review … we analyse some recent developments from that perspective. The literature on forecast evaluation predominantly assumes …
Persistent link: https://www.econbiz.de/10010731816
DAMGARCH is a new model that extends the VARMA-GARCH model of Ling and McAleer (2003) by introducing multiple thresholds and time-dependent structure in the asymmetry of the conditional variances. Analytical expressions for the news impact surface implied by the new model are also presented....
Persistent link: https://www.econbiz.de/10010837875
formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has … evaluation predominantly assumes that macroeconomic forecasts are generated from econometric models. In practice, however, most … macroeconomic forecasts, such as those from the IMF, World Bank, OECD, Federal Reserve Board, Federal Open Market Committee (FOMC …
Persistent link: https://www.econbiz.de/10010553126
formal evaluation of such forecasts has a long research history. Recently, a new angle to the evaluation of forecasts has … evaluation predominantly assumes that macro¬economic forecasts are generated from econometric models. In practice, however, most … macroeconomic forecasts, such as those from the IMF, World Bank, OECD, Federal Reserve Board, Federal Open Market Committee (FOMC …
Persistent link: https://www.econbiz.de/10010556072