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The empirical performance of option-based densities of foreign exchange
Craig, Ben R. (contributor); Keller, Joachim G. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10002542714
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...
Persistent link: https://www.econbiz.de/10001656178
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The empirical performance of option based densities of foreign exchange
Craig, Ben R.; Keller, Joachim G. - 2002
Persistent link: https://www.econbiz.de/10001650407
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Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model
Bekiros, Stelios; Paccagnini, Alessia - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 2, pp. 107-136
Persistent link: https://www.econbiz.de/10011313595
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The limited usefulness of macroeconomic Bayesian VARs when estimating the probability of a US recession
Österholm, Pär - In: Journal of macroeconomics 34 (2012) 1, pp. 76-86
Persistent link: https://www.econbiz.de/10009624475
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Conditional and unconditional intraday value-at-risk models : an application to high-frequency tick-by-tick exchange-traded fund data
Nunkoo, Houmera Bibi Sabera; Sookia, Noor Ul Hacq; … - In: Journal of risk : JOR 26 (2023) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10014487297
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Some variables are more worthy than others : new diffusion index evidence on the monitoring of key economic indicators
Armah, Nii Ayi; Swanson, Norman R. - In: Applied financial economics 21 (2011) 1/3, pp. 43-60
Persistent link: https://www.econbiz.de/10009124680
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Some variables are more worthy than others : new diffusion index evidence on the monitoring of key economic indicators
Armah, Nii Ayi; Swanson, Norman R. - 2011
periods, while inclusion of our spread variables improves predictive accuracy in times of high volatility. -- diffusion index … ; factor ; federal reserve bank ; forecast ; macroeconometrics ; monetary policy ; parameter estimation error ; proxy …
Persistent link: https://www.econbiz.de/10009130538
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Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.; Hauzenberger, Klemens - In: The econometrics journal 24 (2021) 3, pp. 442-461
Persistent link: https://www.econbiz.de/10012620715