Showing 1 - 10 of 4,637
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
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
-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models …
Persistent link: https://www.econbiz.de/10010265243
It has become popular recently to apply the multifractal formalism of statistical physics (scaling analysis of structure functions and f(a) singularity spectrum analysis) to financial data. The outcome of such studies is a nonlinear shape of the structure function and a nontrivial behavior of...
Persistent link: https://www.econbiz.de/10010295150
that estimated parameters can be used for forecasting the evolution of the turbulent flow. We compare forecasting results … by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and …
Persistent link: https://www.econbiz.de/10010286258
We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the JSE. Under the assumption of general...
Persistent link: https://www.econbiz.de/10013034895
Stockholders are faced with both macroeconomic uncertainty and uncertainty that is generated from fears. We develop a financial stress factor as a proxy for pessimism that operates through stockholders' expectations about the elevated market volatility and shocks the cross-section of stock...
Persistent link: https://www.econbiz.de/10013235055
for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by … memory ; international volatility forecasting …
Persistent link: https://www.econbiz.de/10009314521
that estimated parameters can be used for forecasting the evolution of the turbulent flow. We compare forecasting results … by estimating the intermittency parameter and forecasting of volatility for a sample of financial data from stock and … foreign exchange markets. -- Random Lognormal cascades ; GMM estimation ; best linear forecasting ; volatility of financial …
Persistent link: https://www.econbiz.de/10009389845