Showing 1 - 10 of 5,038
An accurate weather forecast is the basis for the valuation of weather derivatives, securities that partially … precision of two forecast models of average daily temperature, the Ornstein-Uhlenbeck process (O-U process) and the generalized … 2018 forecast. Forecasted values were compared to the available actual data for 2018 using MAPE and RMSE methods. The GARCH …
Persistent link: https://www.econbiz.de/10012264990
We study the empirical properties of realized volatility of the E-mini S&P 500 futures contract at various time scales …, ranging from a few minutes to one day. Our main finding is that intraday volatility is remarkably rough and persistent. What … is more, by further studying daily realized volatility measures of close to two thousand individual US equities, we find …
Persistent link: https://www.econbiz.de/10012967996
model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …
Persistent link: https://www.econbiz.de/10010256409
price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the … jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … according to their recent past forecasting performance. The volatility data are based on the intraday prices of West Texas …
Persistent link: https://www.econbiz.de/10013272635
, 60 and 300 seconds), forecast horizons (1, 5, 22 and 66 days) and the use of standard and robust-to-noise volatility and … forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that …-time forecasts than the HAR-RV model, although no single extended model dominates. In general, standard volatility measures at the …
Persistent link: https://www.econbiz.de/10012030057
Persistent link: https://www.econbiz.de/10002433735
We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...
Persistent link: https://www.econbiz.de/10014220784
forecasts and probabilistic prediction intervals for demographic parameters in addition. Age-sex specific population forecast …-specific population forecast using the cohort-component method. The consequence for the German pension system is discussed. To maintain …
Persistent link: https://www.econbiz.de/10012966275
We suggest a theoretical basis for the comparative evaluation of forecasts. Instead of the general assumption that the data is generated from a stochastic model, we classify three stages of prediction experiments: pure non-stochastic prediction of given data, stochastic prediction of given data,...
Persistent link: https://www.econbiz.de/10009728977
forecasts and probabilistic prediction intervals for demographic parameters in addition. Age-sex specific population forecast …-specific population forecast using the cohort-component method. The consequence for the German pension system is discussed. To maintain …
Persistent link: https://www.econbiz.de/10003814452