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Volatility forecasting : the role of lunch-break returns, overnight returns, trading volume and leverage effects
Wang, Xunxiao; Wu, Chongfeng; Xu, Weidong - In: International journal of forecasting 31 (2015) 3, pp. 609-619
Persistent link: https://www.econbiz.de/10011474428
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The term structure of judgement : interpreting survey disagreement
Brenna, Federica; Budrys, Žymantas - 2024
Persistent link: https://www.econbiz.de/10014553879
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Understanding Cryptocurrencies
Härdle, Wolfgang Karl; Harvey, Campbell R.; Reule, … - 2018
Cryptocurrencies refer to a type of digital cash that use distributed ledger - or blockchain technology - to provide secure transactions. These currencies are generally misunderstood. While initially dismissed as fads or bubbles, many large central banks are considering launching their own...
Persistent link: https://www.econbiz.de/10012433193
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Understanding cryptocurrencies : editorial
Härdle, Wolfgang; Harvey, Campbell R.; Reule, Raphael C. G. - In: Journal of financial econometrics 18 (2020) 2, pp. 181-208
Persistent link: https://www.econbiz.de/10012232695
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FORECASTING FOREX VOLATILITY IN TURBULENT TIMES
Mohnot, Rajesh - In: Global Journal of Business Research 5 (2011) 1, pp. 27-38
forecasting can be made at least for the next day given the high degree of volatility in the crisis period. The paper also reveals …
Persistent link: https://www.econbiz.de/10011205925
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Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions
Hwang, Soosung; Knight, John; Satchell, Stephen E. - In: Annals of Economics and Finance 2 (2001) 1, pp. 187-213
This paper applies LINEX loss functions to forecasting nonlinear functions of variance. We derive the optimal one …. Our results suggest that the LINEX loss function is particularly well-suited to many of these forecasting problems and can …
Persistent link: https://www.econbiz.de/10009145691
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Forecasting Nonlinear Functions of Returns Using LINEX Loss Functions
Hwang, Soosung; Knight, John; Satchell, Stephen E. - China Economics and Management Academy, Central … - 2000
This paper applies LINEX loss functions to forecasting nonlinear functions of variance. We derive the optimal one …. Our results suggest that the LINEX loss function is particularly well-suited to many of these forecasting problems and can …
Persistent link: https://www.econbiz.de/10009207423
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INTERDEPENDENCE AND FORECASTING OF S&P500, OIL, EURO / DOLLAR AND 10-YEAR U.S. INTEREST RATE MARKETS: AN ATTEMPT OF MODELLING THROUGH THE VOLATILITY
KSAIER, Ahmed; Isabelle CRISTIANI-D’ORNANO - In: Review of Economic and Business Studies (2010) 6, pp. 145-166
We observe from the late 1990s an increasing phenomenon of volatility on these following markets: Oil (WTI price), Foreign Exchange (nominal Euro/Dollar), Stock Market (S&P 500 Index) and Bond market (U.S.10-Year). After seizing the concept of volatility and overcoming its first definition of...
Persistent link: https://www.econbiz.de/10009322714
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Forecasting growth during the Great Recession: is financial volatility the missing ingredient?
Ferrara, Laurent; Marsilli, Clément; Ortega, Juan-Pablo - In: Economic Modelling 36 (2014) C, pp. 44-50
ability to anticipate the output growth. For this purpose, we propose an extended MIDAS model that allows the forecasting of …
Persistent link: https://www.econbiz.de/10010729831
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An Application of a Short Memory Model With Random Level Shifts to the Volatility of Latin American Stock Market Returns
Rodriguez, Gabriel; Tramontana, Roxana - Departamento de Economía, Pontificia Universidad … - 2014
account, the long memory characteristic and the GARCH e§ects disappear. An out-of-sample forecasting exercise is also provided …
Persistent link: https://www.econbiz.de/10011105601