Showing 1 - 10 of 13,311
We consider the problem of forecasting realized variance measures. These measures are highly persistent, but also noisy estimates of the underlying integrated variance. Recently, Bollerslev, Patton and Quaedvlieg (2016, Journal of Econometrics, 192, 1-18) exploited this fact to extend the...
Persistent link: https://www.econbiz.de/10012986440
In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the … distribution for the innovations. The analysis of the forecast performance during the different periods suggests that including the …
Persistent link: https://www.econbiz.de/10013130487
This paper introduces a parsimonious and yet flexible semiparametric model to forecast financial volatility. The new …
Persistent link: https://www.econbiz.de/10012863889
We evaluate the performance of several linear and nonlinear machine learning models in forecasting the realized volatility (RV) of ten global stock market indices in the period from January 2000 to December 2021. We train models using a dataset which includes past values of the RV and additional...
Persistent link: https://www.econbiz.de/10014076641
Forecasting Realized Volatility (RV) is of paramount importance for both academics andpractitioners. During recent decades, academic literature has made substantial progressboth in terms of methods and predictors under consideration. Despite the popularity oftechnical indicators, there has been...
Persistent link: https://www.econbiz.de/10013244692
An immediate consequence of the Efficient Market Hypothesis (EMH) is the absence of auto-correlation of the return series of the financial prices and the exclusion of excess profitability made by any (active) trading strategy. However, the precondition for the validity of EMH, which assumes that...
Persistent link: https://www.econbiz.de/10012956295
respective forecast accuracy and test whether the forecasted information are relevant to equity or debt markets. The results, in … terms of forecast accuracy in firm-level tests. This study finds that the opposing performance outcome appears to be driven …
Persistent link: https://www.econbiz.de/10014355565
Employing both the mean-variance framework and the common portfolio risk-optimization, this study adds to the investment research by examining how ideal holdings for emerging and frontier markets (EFM) of the four global regions (Asian, Europe, and Commonwealth of Independent States (Eastern +...
Persistent link: https://www.econbiz.de/10013391097
This paper constructs a monthly real-time oil price dataset using backcasting and compares the forecast performance of … used to forecast the real price of oil. The results show that time-varying volatility models dominate their counterparts …
Persistent link: https://www.econbiz.de/10012943623
This paper tests whether it is possible to improve point, quantile and density forecasts of realized volatility by conditioning on macroeconomic and financial variables. We employ quantile autoregressive models augmented with a plethora of macroeconomic and financial variables. Complete subset...
Persistent link: https://www.econbiz.de/10013013804