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In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices … various measures of correlation. Next, we assess what are the implications of higher correlations between oil and equity … prices for asset allocation. We develop a time-varying Bayesian Dynamic Conditional Correlation model for volatilities and …
Persistent link: https://www.econbiz.de/10013060233
Persistent link: https://www.econbiz.de/10009782578
In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices … various measures of correlation. Next, we assess to what extent correlations between oil and equity prices can be exploited … for asset allocation. We develop a time-varying Bayesian Dynamic Conditional Correlation model for volatilities and …
Persistent link: https://www.econbiz.de/10012143812
In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices … various measures of correlation. Next, we assess to what extent correlations between oil and equity prices can be exploited … for asset allocation. We develop a time-varying Bayesian Dynamic Conditional Correlation model for volatilities and …
Persistent link: https://www.econbiz.de/10010787763
In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices … various measures of correlation. Next, we assess to what extent correlations between oil and equity prices can be exploited … for asset allocation. We develop a time-varying Bayesian Dynamic Conditional Correlation model for volatilities and …
Persistent link: https://www.econbiz.de/10010598291
Persistent link: https://www.econbiz.de/10009680478
Persistent link: https://www.econbiz.de/10003580042
Persistent link: https://www.econbiz.de/10013179338
In this paper we derive a general parametric bootstrapping approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. We consider both classical and unrestricted MIDAS regressions with and without an autoregressive component. First, we compare the...
Persistent link: https://www.econbiz.de/10010937989
Increasingly, professional forecasters and academic researchers present model-based and subjective or judgment-based forecasts in economics which are accompanied by some measure of uncertainty. In its most complete form this measure is a probability density function for future values of the...
Persistent link: https://www.econbiz.de/10011932340