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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; 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

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

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

Diffusion index model specification and estimation using mixed frequency datasets

Kim, Kihwan; Swanson, Norman R. - 2013

In this chapter, we discuss the use of mixed frequency models and diffusion index approximation methods in the context of prediction. In particular, select recent specification and estimation methods are outlined, and an empirical illustration is provided wherein U.S. unemployment forecasts are...

Persistent link: https://www.econbiz.de/10009766691

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

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

Prediction and simulation using simple models characterized by nonstationarity and seasonality

Swanson, Norman R.; Urbach, Richard - 2013

analysis of a group of 14 variables have been chosen to closely mimic the set of indicators used by the Federal Reserve to help …

Persistent link: https://www.econbiz.de/10009777938

Density and conditional distribution based specification analysis

Duong, Diep; Swanson, Norman R. - 2013

The technique of using densities and conditional distributions to carry out consistent specification testing and model selection amongst multiple diffusion processes have received considerable attention from both financial theoreticians and empirical econometricians over the last two decades....

Persistent link: https://www.econbiz.de/10009766693