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Realized volatility forecasting : Robustness to measurement errors

Cipollini, Fabrizio; Gallo, Giampiero M.; Otranto, Edoardo - In: International journal of forecasting 37 (2021) 1, pp. 44-57

Persistent link: https://www.econbiz.de/10012692572

Modeling the dependence of conditional correlations on market volatility

Bauwens, Luc; Otranto, Edoardo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 254-268

Persistent link: https://www.econbiz.de/10011691329

Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data

Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015

The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic … accuracy not inferior to that of structural models. Additional advantage of their approach is that the forecasting procedure … can be mostly automated and the influence of subjective decisions made in the forecasting process can be significantly …

Persistent link: https://www.econbiz.de/10010512536

Short-term inflation projections : a Bayesian vector autoregressive approach

Giannone, Domenico; Lenza, Michele; Momferatou, Daphne; … - In: International journal of forecasting 30 (2014) 3, pp. 635-644

Persistent link: https://www.econbiz.de/10010514782

A Bayesian method of change-point estimation with recurrent regimes : application to GARCH models

Bauwens, Luc; De Backer, Bruno; Dufays, Arnaud - In: Journal of empirical finance 29 (2014), pp. 207-229

Persistent link: https://www.econbiz.de/10011300484

Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data

Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015

The article compares forecast quality from two atheoretical models. Neither method assumed a priori causality and forecasts were generated without additional assumptions about regressors. Tendency survey data was used within the Bayesian averaging of classical estimates (BACE) framework and...

Persistent link: https://www.econbiz.de/10011349021