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Assessing Forecast Performance in a VECM Model : An Empirical Investigation between Public Expenditures and Economic Growth in Greece
Bragoudakis, Zacharias - 2022
-correction model (VECM) that is anchored by a long-run equilibrium relationship between Greek national income and productive public …
Persistent link: https://www.econbiz.de/10013306082
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Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Gatarek, Lukasz; Hoogerheide, Lennart F.; Dijk, Herman … - 2014
In this paper we consider two cases of pairs trading strategies: a conditional statistical arbitrage method and an implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a cointegration model, of pairs of stock prices. We show...
Persistent link: https://www.econbiz.de/10010259626
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Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices
Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19
We investigate the direct connection between the uncertainty related to estimated stable ratios of stock prices and risk and return of two pairs trading strategies: a conditional statistical arbitrage method and an implicit arbitrage one. A simulation-based Bayesian procedure is introduced for...
Persistent link: https://www.econbiz.de/10011505854
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Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility
Dufour, Jean-Marie - 2011
In this paper, we provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and implied volatility, and find that implied...
Persistent link: https://www.econbiz.de/10013128856
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Policy-Oriented Macroeconomic Forecasting With Hybrid DSGE and Time-Varying Parameter VAR Models
Bekiros, Stelios - 2013
Micro-founded dynamic stochastic general equilibrium (DSGE) models appear to be particularly suited for evaluating the consequences of alternative macroeconomic policies. Recently, increasing efforts have been undertaken by policymakers to use these models for forecasting, although this proved...
Persistent link: https://www.econbiz.de/10013079672
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A Comparison of the Forecast Performance of Markov-Switching and Threshold Autoregressive Models of Us Gnp
Clements, Michael P.; Krolzig, Hans-Martin - 1999
While there has been a great deal of interest in the modelling of non-linearities in economic time series, there is no clear consensus regarding the forecasting abilities of non-linear time-series models. We evaluate the performance of two leading non-linear models in forecasting post-war US...
Persistent link: https://www.econbiz.de/10014197190
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Bootstrap Confidence Bands for Forecast Paths
Staszewska-Bystrova, Anna - 2009
. The most popular non-Bayesian approaches use large sample normal theory or the bootstrap to evaluate the uncertainty … of periods. It describes and evaluates bootstrap method for constructing confidence bands for forecast paths. The bands … are constructed from forecast paths obtained in bootstrap replications with an optimisation procedure used to find the …
Persistent link: https://www.econbiz.de/10013154328
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Package CovRegpy : Regularised Covariance Regression and Forecasting in Python
van Jaarsveldt, Cole; Peters, Gareth; Ames, Matthew; … - 2023
This paper will outline the functionality available in the CovRegpy package for actuarial practitioners, wealth managers, fund managers, and portfolio analysts written in Python 3.7. The major contributions of CovRegpy can be found in the CovRegpy_DCC.py, CovRegpy_IFF.py, CovRegpy_RCR.py,...
Persistent link: https://www.econbiz.de/10014253907
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Online estimation of DSGE models
Cai, Michael; Del Negro, Marco; Herbst, Edward P.; … - 2019
This paper illustrates the usefulness of sequential Monte Carlo (SMC) methods in approximating DSGE model posterior distributions. We show how the tempering schedule can be chosen adaptively, explore the benefits of an SMC variant we call generalized tempering for "online" estimation, and...
Persistent link: https://www.econbiz.de/10012038824
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Forecasting and stress testing with quantile vector autoregression
Chavleishvili, Sulkhan; Manganelli, Simone - 2019
We introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average interaction of the endogenous variables, quantile VAR models their interaction at any quantile. We show how to estimate and forecast multivariate quantiles within a recursive...
Persistent link: https://www.econbiz.de/10012122051