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Modeling and Forecasting Realized Range Volatility
Caporin, Massimiliano - 2011
In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the … distribution for the innovations. The analysis of the forecast performance during the different periods suggests that including the …
Persistent link: https://www.econbiz.de/10013130487
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Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
forecast evaluation framework as a simple alternative to other approaches. In simulation experiments and an empirical …
Persistent link: https://www.econbiz.de/10011431370
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Tail-dependence in stock-return pairs
Fortin, Ines; Kuzmics, Christoph - 2002
The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...
Persistent link: https://www.econbiz.de/10009725481
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Forecasting Value-at-Risk and Expected Shortfall Using Fractionally Integrated Models of Conditional Volatility : International Evidence
Degiannakis, Stavros Antonios - 2018
The present study compares the performance of the long memory FIGARCH model, with that of the short memory GARCH specification, in the forecasting of multi-period Value-at-Risk (VaR) and Expected Shortfall (ES) across 20 stock indices worldwide. The dataset is comprised of daily data covering...
Persistent link: https://www.econbiz.de/10012910119
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Forecasting Realized Volatility : Does Anything Beat Linear Models?
Branco, Rafael; Rubesam, Alexandre; Zevallos, Mauricio - 2022
We evaluate the performance of several linear and nonlinear machine learning models in forecasting the realized volatility (RV) of ten global stock market indices in the period from January 2000 to December 2021. We train models using a dataset which includes past values of the RV and additional...
Persistent link: https://www.econbiz.de/10014076641
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Forecasting German Car Sales Using Google Data and Multivariate Models
Fantazzini, Dean - 2015
development and production processes. With this in mind, this paper proposes new multivariate models to forecast monthly car sales … data using economic variables and Google online search data. An out-of-sample forecasting comparison with forecast horizons … forecast horizons. These results also hold after several robustness checks which consider nonlinear models, different out …
Persistent link: https://www.econbiz.de/10013015773
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Forecasting GDP at the regional level with many predictors
Lehmann, Robert; Wohlrabe, Klaus - 2013
quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden …. Our results show that we can significantly increase forecast accuracy compared to an autoregressive benchmark model, both …
Persistent link: https://www.econbiz.de/10011685344
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Mind the gap : a multi-country BVAR benchmark for the Eurosystem projections
Angelini, Elena; Lalik, Magdalena; Lenza, Michele; … - 2019
The Eurosystem staff forecasts are conditional on the financial markets, the global economy and fiscal policy outlook, and include expert judgement. We develop a multi-country BVAR for the four largest countries of the euro area and we show that it provides accurate conditional forecasts of...
Persistent link: https://www.econbiz.de/10011975386
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Hybridising neurofuzzy model the seasonal autoregressive models for electricity price forecasting on Germany's spot market
Paraschiv, Dorel Mihai; Bălășoiu, Narciz; Ben Amor, … - In: Amfiteatru economic : an economic and business research … 25 (2023) 63, pp. 463-478
Electricity price forecasting has become an area of increasing relevance in recent years. Despite the growing interest in predictive algorithms, the challenges are difficult to overcome given the restricted access to relevant data series and the lack of accurate metrics. Multiple models have...
Persistent link: https://www.econbiz.de/10014464238
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Evaluating Density Forecasts with an Application to Stock Market Returns
Raunig, Burkhard; de Raaij, Gabriela - 2002
forecast evaluation framework as a simple alternative to other approaches. In simulation experiments and an empirical …
Persistent link: https://www.econbiz.de/10010295725