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On the Correlation between Commodity and Equity Returns : Implications for Portfolio Allocation
Lombardi, Marco - 2014
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
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On the correlation between commodity and equity returns : implications for portfolio allocation
Lombardi, Marco; Ravazzolo, Francesco - 2013
Persistent link: https://www.econbiz.de/10009782578
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Oil Price Density Forecasts: Exploring the Linkages with Stock Markets
Lombardi, Marco J.; Ravazzolo, Francesco - 2012
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
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Oil price density forecasts: exploring the linkages with stock markets
Lombardi, Marco J.; Ravazzolo, Francesco - Norges Bank - 2012
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
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Oil price density forecasts: Exploring the linkages with stock markets
Ravazzolo, Francesco; Lombardi, Marco Jacopo - Centre for Applied Macro- and Petroleum economics … - 2012
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
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Oil price density forecasts : exploring the linkages with stock markets
Lombardi, Marco; Ravazzolo, Francesco - 2012
Persistent link: https://www.econbiz.de/10009680478
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Forecasting financial time series using model averaging
Ravazzolo, Francesco - 2007
Persistent link: https://www.econbiz.de/10003580042
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Adaptive importance sampling for DSGE models
Grassi, Stefano; Lorusso, Marco; Ravazzolo, Francesco - 2021
Persistent link: https://www.econbiz.de/10013179338
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Density forecasts with MIDAS models
Aastveit, Knut Are; Foroni, Claudia; Ravazzolo, Francesco - Centre for Applied Macro- and Petroleum economics … - 2014
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
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The Evolution of Forecast Density Combinations in Economics
Aastveit, Knut Are; Mitchell, James; Ravazzolo, Francesco; … - 2018
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