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A note on the model selection risk for ANOVA based adaptive forecasting of the EURIBOR swap term structure
Blaskowitz, Oliver J.; Herwartz, Helmut - 2008
The paper proposes a data driven adaptive model selection strategy. The selection crite- rion measures economic exante forecasting content by means of trading implied cash flows. Empirical evidence suggests that the proposed strategy is neither exposed to selection bias nor to the risk of...
Persistent link: https://www.econbiz.de/10010271837
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The merit of high-frequency data in portfolio allocation
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - 2011
This paper addresses the open debate about the effectiveness and practical relevance of highfrequency (HF) data in portfolio allocation. Our results demonstrate that when used with proper econometric models, HF data offers gains over daily data and more importantly these gains are maintained...
Persistent link: https://www.econbiz.de/10010281594
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The merit of high-frequency data in portfolio allocation
Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - 2011
estimator. We propose forecasting covariance matrices using a multi-scale spectral decomposition where volatilities, correlation …
Persistent link: https://www.econbiz.de/10010308574
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Potential PCA interpretation problems for volatility smile dynamics
Reiswich, Dimitri; Tompkins, Robert - 2009
volatility smiles or interest rate curves. Recently, Pelsser and Lord [11] raised the question whether PCA results may not be …
Persistent link: https://www.econbiz.de/10010301713
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Latent variable analysis and partial correlation graphs for multivariate time series
Fried, Roland; Didelez, Vanessa - 2003
We investigate the possibility of exploiting partial correlation graphs for identifying interpretable latent variables … underlying a multivariate time series. It is shown how the collapsibility and separation properties of partial correlation graphs …
Persistent link: https://www.econbiz.de/10010306285
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ARCH-Prozesse und ihre Erweiterungen - Eine empirische Untersuchung für Finanzmarktzeitreihen -
Jacobi, Frank - 2005
Das in Finanzmarktdaten zu beobachtende volatility-clustering impliziert, daß große Renditeschocks bei der Preisbildung …The volatility clustering observed in financial market data implies that large net yield shocks increase the … probability of a higher future volatility during the price formation. Starting from the ARCH models which were suggested by Engle …
Persistent link: https://www.econbiz.de/10010296494
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The empirical relation between credit quality, recovery and correlation
Rösch, Daniel; Scheule, Harald - 2009
correlation. …
Persistent link: https://www.econbiz.de/10010276410
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Dynamic factor models
Breitung, Jörg; Eickmeier, Sandra - 2005
Factor models can cope with many variables without running into scarce degrees of freedom problems often faced in a regression-based analysis. In this article we review recent work on dynamic factor models that have become popular in macroeconomic policy analysis and forecasting. By means of an...
Persistent link: https://www.econbiz.de/10010295783
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Real-time forecasting of GDP based on a large factor model with monthly and quarterly data
Schumacher, Christian; Breitung, Jörg - 2006
This paper discusses a factor model for estimating monthly GDP using a large number of monthly and quarterly time series in real-time. To take into account the different periodicities of the data and missing observations at the end of the sample, the factors are estimated by applying an EM...
Persistent link: https://www.econbiz.de/10010295822
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Variable selection and inference for multi-period forecasting problems
Pesaran, Mohammad Hashem; Pick, Andreas; Timmermann, Allan - 2009
direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …
Persistent link: https://www.econbiz.de/10010276226