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Fitting and Forecasting Sovereign Defaults Using Multiple Risk Signals
Savona, Roberto - 2011
In this paper we face the fitting versus forecasting paradox with the objective of realizing an optimal Early Warning System to better describe and predict past and future sovereign defaults. We do this by proposing a new Regression Tree-based model that signals a potential crisis whenever...
Persistent link: https://www.econbiz.de/10013117928
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Wave Function Method to Forecast Foreign Currencies Exchange Rates at Ultra High Frequency Electronic Trading in Foreign Currencies Exchange Markets
Ledenyov, Dimitri - 2015
exchange rates dynamics in the foreign currencies exchange markets in the classic finances theory; 3) the description on the … theory; 4) the derivation of the time dependent/time independent wave equation in the quantum finances theory; 5) the …/time independent wave equation in the quantum finances theory; 6) the discussion on the developed software program with the embedded …
Persistent link: https://www.econbiz.de/10013013057
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Meese-Rogoff Redux : Micro-Based Exchange Rate Forecasting
Evans, Martin D.D; Lyons, Richard K. - 2005
This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine forecasting over horizons from one day to one month (the...
Persistent link: https://www.econbiz.de/10014067648
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Capital flow data : a guide for empirical analysis and real-time tracking
Koepke, Robin; Paetzold, Simon - In: International journal of finance & economics : IJFE 29 (2024) 1, pp. 311-331
Persistent link: https://www.econbiz.de/10014469012
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Information Content in Sneer Asymmetry : An Application to OOS Implied Volatility Forecasting
Choi, Youngsoo - 2012
The ad hoc Black-Scholes (AHBS) model is one of the most widely used option valuation models among practitioners models. The main contribution of this study is methodological. We have two main results: (1) we make the empirical observation that typically the call and put sneers are discontinuous...
Persistent link: https://www.econbiz.de/10013097543
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Out-of-Sample Exchange Rate Predictability with Real-Time Data
Ince, Onur - 2019
This paper evaluates short-run out-of-sample exchange rate predictability with real-time data for 15 OECD countries from 1973 to 2013. We consider the Taylor rule fundamentals model, where the variables that enter the Taylor rule are used to forecast exchange rate changes, and the Taylor rule...
Persistent link: https://www.econbiz.de/10012903719
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Out-of-Sample Exchange Rate Predictability with Taylor Rule Fundamentals
Molodtsova, Tanya - 2009
An extensive literature that studied the performance of empirical exchange rate models following Meese and Rogoff's (1983a) seminal paper has not convincingly found evidence of out-of-sample exchange rate predictability. This paper extends the conventional set of models of exchange rate...
Persistent link: https://www.econbiz.de/10012764841
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Merging Structural and Reduced-Form Models for Forecasting : Opening the Dsge-Var Box
Martinez-Martin, Jaime - 2019
The post-crisis environment has posed important challenges to standard forecasting models. In this paper, we exploit several combinations of a large-scale DSGE structural model with standard reduced-form methods such as (B)VAR (i.e. DSGE-VAR and Augmented-(B)VARDSGE methods) and assess their use...
Persistent link: https://www.econbiz.de/10012858319
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Better to Give than to Receive : Predictive Directional Measurement of Volatility Spillovers
Diebold, Francis X. - 2010
Using a generalized vector autoregressive framework in which forecast-error variance decompositions are invariant to variable ordering, we propose measures of both total and directional volatility spillovers. We use our methods to characterize daily volatility spillovers across U.S. stock, bond,...
Persistent link: https://www.econbiz.de/10013149049
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Exchange Rate Predictability
Rossi, Barbara - 2013
The main goal of this article is to provide an answer to the question: "Does anything forecast exchange rates, and if so, which variables?". It is well known that exchange rate fluctuations are very difficult to predict using economic models, and that a random walk forecasts exchange rates...
Persistent link: https://www.econbiz.de/10013077116