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Predictive density estimators for daily volatility based on the use of realized measures
Corradi, Valentina (contributor);  … - 2006 - Rev.
The main objective of this paper is to propose a feasible, model free estimator of the predictive density of integrated … realized volatility. Our approach is to use a realized volatility measure to construct a non parametric (kernel) estimator of …, satisfy the conditions required for the uniform consistency of our estimator. Furthermore, we outline an alternative …
Persistent link: https://www.econbiz.de/10003698522
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Predictive Density Estimators for Daily Volatility Based on the Use of Realized Measures
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2005
The main objective of this paper is to propose a feasible, model free estimator of the predictive density of integrated … realized volatility. Our approach is to use a realized volatility measure to construct a non parametric (kernel) estimator of …, satisfy the conditions required for the uniform consistency of our estimator. Furthermore, we outline an alternative …
Persistent link: https://www.econbiz.de/10014062176
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Annals journal of econometrics: predictive methodology and application in economics finance : volume in honor of the accomplishments of Clive W. J. Granger
Swanson, Norman R.; Elliott, Graham; Ghysels, Eric; … - 2006
Persistent link: https://www.econbiz.de/10003376072
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Predictive methodology and application in economics finance : volume in honor of the accomplishments of Clive W. J. Granger ; editor's introduction
Swanson, Norman R.; Elliott, Graham; Ghysels, Eric; … - In: Journal of econometrics 135 (2006) 1/2, pp. 1-9
Persistent link: https://www.econbiz.de/10003376073
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Editorial statement in honor of Professor Michael McAleer
Alghalith, Moawia; Swanson, Norman R.; Vasnev, Andrey; … - In: Annals of financial economics 16 (2021) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10013185326
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Real-time datasets really do make a difference: definitional change, data release, and forecasting
Fernandez, Andres; Swanson, Norman R. - Federal Reserve Bank of Philadelphia - 2009
In this paper, the authors empirically assess the extent to which early release inefficiency and definitional change affect prediction precision. In particular, they carry out a series of ex-ante prediction experiments in order to examine: the marginal predictive content of the revision process,...
Persistent link: https://www.econbiz.de/10008627176
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Essays in Econometrics : Collected Papers of Clive W. J. Granger
Granger, Clive W. J. - 2001
These essays by Clive W. J. Granger span more than four decades and cover major topics in spectral analysis, seasonality, nonlinearity, methodology, and forecasting. The introduction by Eric Gysels, Norman R. Swanson and Mark W. Watson places the essays in context and demonstrates their enduring...
Persistent link: https://www.econbiz.de/10012675409
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Essays in Econometrics : Collected Papers of Clive W. J. Granger
Granger, Clive W. J. - 2001
These essays by Clive W. J. Granger span more than four decades and cover major topics in causality, integration, cointegration, and long memory. The introduction by Eric Gysels, Norman R. Swanson, and Mark W. Watson places the essays in context and demonstrates their enduring value
Persistent link: https://www.econbiz.de/10012675413
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Temporal aggregation and causality in multiple time series models
Breitung, Jörg; Swanson, Norman R. - 1998
In this paper we characterize what has sometimes been referred to in the literature as instantaneous causality, by examining the consequences of temporal aggregation in (possibly) Granger causal systems of variables. Our approach is to compare the concept of contemporaneous correlation due to...
Persistent link: https://www.econbiz.de/10009578029
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Seeing inside the black box : using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments
Armah, Nii Ayi; Swanson, Norman R. - 2008
Persistent link: https://www.econbiz.de/10003763975