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Non-linearities and fractional integration in the US unemployment rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2004
approach, based on the tests of Robinson (1994), introduces fractional integration and nonlinearities simultaneously into the … more activist stabilisation policies. However, any suitable model should also include business cycle asymmetries, with …
Persistent link: https://www.econbiz.de/10010295392
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Do Bivariate SVAR Models with Long-Run Identifying Restrictions Yield Reliable Results? The Case of Germany
van Zandweghe, Willem; Gottschalk, Jan - 2001
Bivariate SVAR models employing long-run identifying restrictions are often used to investigate the source of business cycle fluctuations. Their advantage is the simplicity in use and interpretation. However, their low dimension may also lead to a failure of the identification procedure, with...
Persistent link: https://www.econbiz.de/10010276923
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Long memory and volatility dynamics in the US dollar exchange rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010
particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …
Persistent link: https://www.econbiz.de/10010271381
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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 - 2011
inclusion of our spread variables improves predictive accuracy in times of high volatility. …
Persistent link: https://www.econbiz.de/10010282848
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On the periodicity of inventories
Shibayama, Katsuyuki - 2008
estimation generate cycles of around 55 to 70 months, which are quite close to actual business cycle lengths. This implies that …
Persistent link: https://www.econbiz.de/10010277802
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Support vector regression based GARCH model with application to forecasting volatility of financial returns
Chen, Shiyi; Jeong, Kiho; Härdle, Wolfgang Karl - 2008
financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … examined to the free parameters. Keywords: recurrent support vector regression ; GARCH model ; volatility forecasting …
Persistent link: https://www.econbiz.de/10010274143
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Predicting bid-ask spreads using long memory autoregressive conditional poisson models
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2011
We introduce a long memory autoregressive conditional Poisson (LMACP) model to model highly persistent time series of counts. The model is applied to forecast quoted bid-ask spreads, a key parameter in stock trading operations. It is shown that the LMACP nicely captures salient features of...
Persistent link: https://www.econbiz.de/10010281578
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The Empirical Performance of Option Based Densities of Foreign Exchange
Keller, Joachim G.; Craig, Ben R. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10010295724
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Evaluating Density Forecasts with an Application to Stock Market Returns
Raunig, Burkhard; de Raaij, Gabriela - 2002
Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
Persistent link: https://www.econbiz.de/10010295725
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Forecasting volatility under fractality, regime-switching, long memory and student-t innovations
Lux, Thomas; Morales-Arias, Leonardo - 2009
We examine the performance of volatility models that incorporate features such as long (short) memory, regime …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … (GMM) estimation are both suitable for MSM-t models, (ii) empirical panel forecasts of MSM-t models show an improvement …
Persistent link: https://www.econbiz.de/10010265243