Showing 1 - 10 of 212
-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …
Persistent link: https://www.econbiz.de/10010294979
forecasting financial volatility. We use the auto-covariances of log increments of the multi-fractal process in order to estimate … ?scaling? approach. Our empirical estimates are used in out-of-sample forecasting of volatility for a number of important …
Persistent link: https://www.econbiz.de/10010295056
Bayesian forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of … leads to gains in forecasting accuracy for some time series. …
Persistent link: https://www.econbiz.de/10010295106
-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …
Persistent link: https://www.econbiz.de/10010295136
forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of volatility … leads to gains in forecasting accuracy for some time series. …
Persistent link: https://www.econbiz.de/10010295151
In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...
Persistent link: https://www.econbiz.de/10010324578
With the aim of constructing predictive distributions for daily returns, we introduce a new Markov normal mixture model in which the components are themselves normal mixtures. We derive the restrictions on the autocovariances and linear representation of integer powers of the time series in...
Persistent link: https://www.econbiz.de/10011604877
This paper elaborates on the link between financial market volatility and real economic activity. Using monthly data for Germany from 1968 to 1998, we specify GARCH models to capture the variability of stock market prices, of the real exchange rate, and of a long-term and of a short-term rate of...
Persistent link: https://www.econbiz.de/10010275423
In this paper we have assessed an influence of the NYSE Stock Exchange indexes (DJIA and NASDAQ) and European Stock indexes (DAX and FTSE) on the Warsaw Stock Exchange index WIG within a framework of a GARCH model. By applying a procedure of checking predictive quality of econometric models as...
Persistent link: https://www.econbiz.de/10010277059
This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...
Persistent link: https://www.econbiz.de/10010435583