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Forecasting Oil Prices With Penalized Regressions, Variance Risk Premia and Google Data

Lycheva, Maria; Mironenkov, Alexey; Kurbatskii, Alexey; … - 2023

forecasting performances across most of the forecasting horizons. Moreover, we found that models using the VRP as an additional … forecasting performances were not statistically different for most models, and only the Principal Component Regression (PCR) and … the Partial least squares (PLS) regression were consistently excluded from the set of best forecasting models. These …

Persistent link: https://www.econbiz.de/10014349277

Forecasting global equity indices using large Bayesian VARs

Huber, Florian; Krisztin, Tamás; Piribauer, Philipp - 2014

Persistent link: https://www.econbiz.de/10010480996

Changing impact of shocks : a time-varying proxy SVAR approach

Mumtaz, Haroon; Petrova, Katerina - 2018

In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in...

Persistent link: https://www.econbiz.de/10011933414

Use of adapted particle filters in SVJD models

Fičura, Milan; Witzany, Jiří - In: European financial and accounting journal : EFAJ 13 (2018) 3, pp. 5-20

Particle Filter algorithms for filtering latent states (volatility and jumps) of Stochastic-Volatility Jump-Diffusion (SVJD) models are being explained. Three versions of the SIR particle filter with adapted proposal distributions to the jump occurrences, jump sizes, and both are derived and...

Persistent link: https://www.econbiz.de/10012118579

The Stochastic Volatility in Mean Model

Koopman, Siem Jan; Uspensky, Eugenie Hol - 2000

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