Similar Search Results

Seeing inside the black box : using diffusion index methodology to construct factor proxies in largescale macroeconomic time series environments

Armah, Nii Ayi; Swanson, Norman R. - 2011 - Rev.

In economics, common factors are often assumed to underlie the co-movements of a set of macroeconomic variables. For this reason, many authors have used estimated factors in the construction of prediction models. In this paper, we begin by surveying the extant literature on diffusion indexes. We...

Persistent link: https://www.econbiz.de/10009130733

Empirical evidence on jumps and large fluctuations in individual stocks

Doung, Diep; Swanson, Norman R. - 2011

We make use of the extant testing methodology of Barndorff-Nielsen and Shephard (2006) and Ai͏̈t-Sahalia and Jacod (2009a,b,c) to examine the importance of jumps, and in particular "large" and "small" jumps, using high frequency price returns on 25 stocks in the DOW 30 and S&P futures index....

Persistent link: https://www.econbiz.de/10009151972

Some variables are more worthy than others : new diffusion index evidence on the monitoring of key economic indicators

Armah, Nii Ayi; Swanson, Norman R. - In: Applied financial economics 21 (2011) 1/3, pp. 43-60

Persistent link: https://www.econbiz.de/10009124680

Some variables are more worthy than others : new diffusion index evidence on the monitoring of key economic indicators

Armah, Nii Ayi; Swanson, Norman R. - 2011

one particular set of macroeconomic "indicators" is given. In this paper, we define a particular set of "indicators"; that … forecasters. As a measure of the "adequacy"; of the "indicators", we compare their predictive content with that of a group of …). The variables that we predict are output growth and inflation, two representative variables from our set of indicators …

Persistent link: https://www.econbiz.de/10009130538

Seeing Inside the Black Box : Using Diffusion Index Methodology to Construct Factor Proxies in Largescale Macroeconomic Time Series Environments

Armah, Nii Ayi C.; Swanson, Norman R. - 2019

Persistent link: https://www.econbiz.de/10014052482

Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction

Duong, Diep; Swanson, Norman R. - 2013

Many recent modelling advances in finance topics ranging from the pricing of volatility-based derivative products to asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a number of recent papers have addressed volatility...

Persistent link: https://www.econbiz.de/10009771770

Fixed and long time span jump tests : new Monte Carlo and empirical evidence

Cheng, Mingmian; Swanson, Norman R. - In: Econometrics : open access journal 7 (2019) 1/13, pp. 1-32

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the magnitude of the jump intensity parameter in the data...

Persistent link: https://www.econbiz.de/10012025640

Some Variables are More Worthy than Others : New Diffusion Index Evidence on the Monitoring of Key Economic Indicators

Armah, Nii Ayi C. - 2013

one particular set of macroeconomic “indicators” is given. In this paper, we define a particular set of “indicators” that … forecasters. As a measure of the “adequacy” of the “indicators”, we compare their predictive content with that of a group of …). The variables that we predict are output growth and inflation, two representative variables from our set of indicators …

Persistent link: https://www.econbiz.de/10013092865

Empirical Evidence on Jumps and Large Fluctuations in Individual Stocks

Duong, Diep - 2013

We make use of the extant testing methodology of Barndorff-Nielsen and Shephard (2006) and Aït-Sahalia and Jacod (2009a, b, c) to examine the importance of jumps, and in particular “large” and “small” jumps, using high frequency price returns on 25 stocks in the DOW 30 and S&P futures...

Persistent link: https://www.econbiz.de/10013092868

Predictive Inference Under Model Misspecification with an Application to Assessing the Marginal Predictive Content of Money for Output

Armah, Nii Ayi C.; Swanson, Norman R. - 2007

In this chapter we discuss model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with particular emphasis on the construction of valid bootstrap...

Persistent link: https://www.econbiz.de/10014052483