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The factor-spline-GARCH model for high and low frequency correlations
Rangel, Jose Gonzalo; Engle, Robert F. - 2009
frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …
Persistent link: https://www.econbiz.de/10003821063
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ARIMA Forecasting of COVID-19 incidence in Italy, Russia, and the USA
Perone, Gaetano - 2020
economic emergencies. This paper aims to forecast the short to medium-term incidence of COVID-19 epidemic through the medium of … an autoregressive integrated moving average (ARIMA) model, applied to Italy, Russia, and the USA The analysis is ….worldometers.info/coronavirus/). The best ARIMA models were Italy (4,2,4), Russia (1,2,1), and the USA (6,2,3). The results showed that: i) ARIMA models …
Persistent link: https://www.econbiz.de/10014096892
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A note on uncertainty due to infectious diseases and output growth of the United States : a mixed-frequency forecasting experiment
Salisu, Afees A.; Gupta, Rangan; Demirer, Rıza - In: Annals of financial economics 17 (2022) 2, pp. 1-9
Persistent link: https://www.econbiz.de/10013262971
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Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US
Haase, Felix; Neuenkirch, Matthias - 2021 - This Version: January 8, 2021
-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …
Persistent link: https://www.econbiz.de/10012180543
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The ARCH-in-Mean Dose Work : Out-of-Sample Predictability of US Stock Market
Xie, Haibin - 2015
The predictability of stock market is of great interest to both reseachers and investors. Despite voluminous evidence of in-sample predictability, the out-of-sample predictability of stock returns remains an ongoing debate. In this paper, motivated by both the financial theories and the well...
Persistent link: https://www.econbiz.de/10013029611
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The Informational Content of the Term-Spread in Forecasting the U.S. Inflation Rate : A Nonlinear Approach
Gogas, Periklis - 2017
The difficulty in modelling inflation and the significance in discovering the underlying data generating process of inflation is expressed in an ample literature regarding inflation forecasting. In this paper we evaluate nonlinear machine learning and econometric methodologies in forecasting the...
Persistent link: https://www.econbiz.de/10012953784
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Food versus fuel : causality and predictability in distribution
Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - 2013 - This draft: March 14th 2013
distribution by asking whether ethanol returns can be used to forecast different parts of field crops returns distribution, or vice … Squares. Forecast evaluation relies on quantile-weighed scoring rules, which identify regions of the distribution of interest … by using field crops returns. On the contrary, there is no evidence that ethanol can be used to forecast any region of …
Persistent link: https://www.econbiz.de/10009737363
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Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2012
We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....
Persistent link: https://www.econbiz.de/10009526607
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International Stock Return Predictability : What is the Role of the United States?
Rapach, David - 2012
We investigate lead-lag relationships among country stock returns and identify a leading role for the United States: lagged U.S. returns significantly predict returns in numerous non-U.S. industrialized countries (after controlling for national economic variables and countries' own lagged...
Persistent link: https://www.econbiz.de/10013116627
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The World Predictive Power of U.S. Equity Market Skewness
Chen, Jian - 2019
This study investigates the cross-country impact of U.S. equity market skewness risk. We find that a large decrease in the U.S. market skewness significantly predicts high future returns on international equity markets. The predictability remains significant after controlling for a set of U.S....
Persistent link: https://www.econbiz.de/10012902203