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The effects of Dollar/Sterling exchange rate volatility of futures markets for coffee and cocoa
Jumah, Adusei; Kunst, Robert M. - 1999
shown to be specific for commodity and market. A forecasting comparison on the basis of the identified models suggests that …
Persistent link: https://www.econbiz.de/10010291928
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The effects of exchange-rate exposures on equity asset markets
Jumah, Adusei; Kunst, Robert M. - 2001
in forecasting from using bivariate models remained small otherwise. …
Persistent link: https://www.econbiz.de/10010292735
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Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
Lux, Thomas; Kaizoji, Taisei - 2006
-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …
Persistent link: https://www.econbiz.de/10010294979
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The multi-fractal model of asset returns: Its estimation via GMM and its use for volatility forecasting
Lux, Thomas - 2003
forecasting financial volatility. We use the auto-covariances of log increments of the multi-fractal process in order to estimate … ?scaling? approach. Our empirical estimates are used in out-of-sample forecasting of volatility for a number of important …
Persistent link: https://www.econbiz.de/10010295056
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The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility
Lux, Thomas - 2004
Bayesian forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of … leads to gains in forecasting accuracy for some time series. …
Persistent link: https://www.econbiz.de/10010295106
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Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models
Lux, Thomas; Kaizoji, Taisei - 2004
-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …
Persistent link: https://www.econbiz.de/10010295136
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The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility
Lux, Thomas - 2006
forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of volatility … leads to gains in forecasting accuracy for some time series. …
Persistent link: https://www.econbiz.de/10010295151
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On the (nonlinear) relationship between exchange rate uncertainty and trade: An investigation of US trade figures in the Group of Seven
Herwartz, Helmut - 2003
as semiparametric time series models are evaluated in terms of fitting and ex ante forecasting. The overall impact of …
Persistent link: https://www.econbiz.de/10010296439
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Forecasting the Variability of Stock Index Returns with Stochastic Volatility Models and Implied Volatility
Hol, Eugenie; Koopman, Siem Jan - 2000
returns and intradaily squared returns for forecasting horizons rangingfrom 1 to 10 days. For the daily squared returns we …
Persistent link: https://www.econbiz.de/10010324427
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The Stochastic Volatility in Mean Model
Koopman, Siem Jan; Uspensky, Eugenie Hol - 2000
In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable in the mean equation. The same extension...
Persistent link: https://www.econbiz.de/10010324578