Showing 1 - 10 of 714
This paper analyzes conditional threshold effects of stock market volatility on crude oil market volatility. We use the conditional threshold autoregressive (CoTAR) model, a novel extension of TAR from a constant to time-varying threshold. The conditional threshold is specified as an empirical...
Persistent link: https://www.econbiz.de/10014353102
We conduct an out-of-sample backtesting exercise of Growth-at-Risk (GaR) predictions for 24 OECD countries. We consider forecasts constructed from quantile regression and GARCH models. The quantile regression forecasts are based on a set of recently proposed measures of downside risks to GDP,...
Persistent link: https://www.econbiz.de/10012847547
We forecast the realized and median realized volatility of agricultural commodities using variants of the Heterogeneous AutoRegressive (HAR) model. We obtain tick-by-tick data for five widely traded agricultural commodities (Corn, Rough Rice, Soybeans, Sugar, and Wheat) from the CME/ICE. Real...
Persistent link: https://www.econbiz.de/10012847924
We propose the use of a risk measure built on flight-to-safety (FTS) episodes into a volatility forecasting model. We assign to each day in the sample a probability of being a FTS day after observing (ab)normal movements in the US equity, US bond and gold markets. By allowing each FTS day to be...
Persistent link: https://www.econbiz.de/10012852744
The aim of this paper is to prove the phenotypic convergence of cryptocurrencies, in the sense that individual cryptocurrencies respond to similar selection pressures by developing similar characteristics. In order to retrieve the cryptocurrencies phenotype, we treat cryptocurrencies as...
Persistent link: https://www.econbiz.de/10012827654
Fitting a local linear trend model with a Kalman smoother to smooth out noise inherent in the data suggests that the UK has passed the peak of new coronavirus cases and daily deaths, while England has passed peak hospital admissions. New cases appear to be flatlining, while daily deaths and...
Persistent link: https://www.econbiz.de/10012831109
The benefits of using flight-to-safety (FTS) in volatility forecasting are assessed within a multivariate GARCH framework. In particular, we propose realized semi-covariance between falling equity and rising safe haven returns as a proxy of FTS and we use it to model the conditional distribution...
Persistent link: https://www.econbiz.de/10012916710
The ability of Google Trends data to forecast the number of new daily cases and deaths of COVID-19 is examined using a dataset of 158 countries. The analysis includes the computations of lag correlations between confirmed cases and Google data, Granger causality tests, and an out-of-sample...
Persistent link: https://www.econbiz.de/10012826063
Information on economic policy uncertainty (EPU) does matter in predicting oil returns especially when accounting for omitted nonlinearities in the relationship between these two variables via a time-varying coefficient approach. In this work, we compare the forecastability of standard, Bayesian...
Persistent link: https://www.econbiz.de/10013024926
Rapach et al. (2013) have recently shown that U.S. equity market returns carry valuable information to improve return forecasts in global equity markets. In this study, we extend the work of Rapach et al. (2013) and examine if U.S. based equity market information can be used to improve realized...
Persistent link: https://www.econbiz.de/10012998925