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Analyzing and Forecasting Thai Macroeconomic Data Using Mixed-Frequency Approach
Wichitaksorn, Nuttanan - 2021
Macroeconomic data are an important piece of information in decision making for both the public and private sectors in Thailand. However, the release of key macroeconomic data, usually in a lower frequency such as quarterly, is not always in a timely manner. Using the higher frequency data such...
Persistent link: https://www.econbiz.de/10013247778
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Regime-dependent nowcasting of the Austrian economy
Fortin, Ines; Hlouskova, Jaroslava - 2023
We nowcast and forecast Austrian economic activity, namely real gross domestic product (GDP), consumption and investment, which are available at a quarterly frequency. While nowcasting uses data up to (and including) the quarter to be predicted, forecasting uses only data up to the previous...
Persistent link: https://www.econbiz.de/10014432187
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Modelling Foreign Exchange Realized Volatility Using High Frequency Data : Long Memory Versus Structural Breaks
Maatoug, Abderazak Ben - 2019
In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show...
Persistent link: https://www.econbiz.de/10012900291
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ARFIMAX and ARFIMAX-TARCH Realized Volatility Modeling
Degiannakis, Stavros Antonios - 2018
ARFIMAX models are applied in estimating the intra-day realized volatility of the CAC40 and DAX30 indices. Volatility clustering and asymmetry characterize the logarithmic realized volatility of both indices. ARFIMAX model with time-varying conditional heteroscedasticity is the best performing...
Persistent link: https://www.econbiz.de/10012910127
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Predicting volatility of bitcoin returns with ARCH, GARCH and EGARCH models
Yildirim, Hakan; Bekun, Festus Victor - In: Future Business Journal 9 (2023), pp. 1-8
The ınvestment decisions of institutional and individual investors in financial markets are largely influenced by market uncertainty and volatility of the investment instruments. Thus, the prediction of the uncertainty and volatilities of the prices and returns of the investment instruments...
Persistent link: https://www.econbiz.de/10014382180
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The predictive content of commodity futures
Chinn, Menzie David; Coibion, Olivier - 2010
Persistent link: https://www.econbiz.de/10003952098
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The predictive content of commodity futures
Chinn, Menzie David; Coibion, Olivier - 2010
Persistent link: https://www.econbiz.de/10008649925
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Day-ahead electricity spot prices : fundamental modelling and the role of expected wind electricity infeed at the European energy exchange
Erni, David - 2012
sources and according amendments in the German renewable energy law, special attention is paid to the impact of expected wind … insight into the impact of intermittent supply from renewable sources (i.e. wind energy) and the latest amendments in the … German renewable energy law on the risk behavior of market participants, the thesis will be completed by a forward market …
Persistent link: https://www.econbiz.de/10009713290
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Long term electricity consumption forecast in Brazil : a fuzzy logic approach
Torrini, Fabiano Castro; Souza, Reinaldo Castro; … - In: Socio-economic planning sciences : the international … 54 (2016), pp. 18-27
Persistent link: https://www.econbiz.de/10011481617
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The predictive content of commodity futures
Chinn, Menzie David; Coibion, Olivier - In: The journal of futures markets 34 (2014) 7, pp. 607-636
Persistent link: https://www.econbiz.de/10010507944