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Inflation uncertainty and disagreement in bond risk premia

D'Amico, Stefania; Orphanides, Athanasios - 2014

This paper examines the relation between variations in perceived inflation uncertainty and bond premia. Using the … average individual uncertainty about inflation forecasts since 1968. We show that this ex-ante measure of inflation … uncertainty differs importantly from measures of disagreement regarding inflation forecasts and other proxies, such as model …

Persistent link: https://www.econbiz.de/10010441139

'Deja Vol' Revisited : Survey Forecasts of Macroeconomic Variables Predict Volatility in the Cross-Section of Industry Portfolios

Conrad, Christian - 2018

growth rates is associated with lower stock volatility. Inflation forecasts predict higher or lower stock volatility …

Persistent link: https://www.econbiz.de/10012917967

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - 2014

Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....

Persistent link: https://www.econbiz.de/10010259630

Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction

Liao, Yin - 2012

Recent literature has focuses on realized volatility models to predict financial risk. This paper studies the benefit of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized volatility models are compared in terms of their VaR forecasting...

Persistent link: https://www.econbiz.de/10013105658

Price dividend ratio and long-run stock returns : a score driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020

estimation of the state vector and of the time-varying parameters. We use this method to study the timevarying relationship …

Persistent link: https://www.econbiz.de/10012156426

Forecasting sovereign bond realized volatility using time-varying coefficients model

Malinska, Barbora - 2021

This paper studies predictability of realized volatility of U.S. Treasury futures using high-frequency data for 2-year, 5-year, 10-year and 30-year tenors from 2006 to 2017. We extend heterogeneous autoregressive model by Corsi (2009) by higher-order realized moments and allow all model...

Persistent link: https://www.econbiz.de/10012542381

The contribution of realized covariance models to the economic value of volatility timing

Bauwens, Luc; Xu, Yongdeng - 2023

Realized covariance models specify the conditional expectation of a realized covariance matrix as a function of past realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in terms of economic value, measured through economic...

Persistent link: https://www.econbiz.de/10014434629

Global bond risk premia under falling stars

Zhang, Yugui; Zhu, Jie; Zhu, Xiaoneng - In: Finance research letters 42 (2021), pp. 1-9

Persistent link: https://www.econbiz.de/10014580460

The return of financial variables in forecasting GDP growth in the G-7

Kuosmanen, Petri; Vataja, Juuso - In: Economic change and restructuring : empirical and … 50 (2017) 3, pp. 259-277

Persistent link: https://www.econbiz.de/10011778412

Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - 2004

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...

Persistent link: https://www.econbiz.de/10011335205

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