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Modeling Tick-by-Tick Realized Correlations

Corsi, Fulvio; Audrino, Francesco - School of Economics and Political Science, Universität … - 2008

We propose a tree-structured heterogeneous autoregressive (tree-HAR) process as a simple and parsimonious model for the estimation and prediction of tick-by-tick realized correlations. The model can account for different time and other relevant predictors' dependent regime shifts in the...

Persistent link: https://www.econbiz.de/10005453959

Yield Curve Predictability, Regimes, andMacroeconomic Information: A Data-Driven Approach

Audrino, Francesco; Filipova, Kameliya - Swiss National Centre of Competence in Research North … - 2009

We propose an empirical approach to determine the various economic sourcesdriving the US yield curve. We allow the conditional dynamics of the yield at differ-ent maturities to change in reaction to past information coming from several relevantpredictor variables. We consider both endogenous,...

Persistent link: https://www.econbiz.de/10005868713

Monetary policy regimes: Implications for the yield curve and bond pricing

Filipova, Kameliya; Audrino, Francesco; De Giorgi, Enrico - In: Journal of Financial Economics 113 (2014) 3, pp. 427-454

We develop a multivariate dynamic term structure model, which takes into account the nonlinear (time-varying) relation between interest rates and the state of the economy. In contrast to the classical term structure literature, in which nonlinearities are captured by increasing the number of...

Persistent link: https://www.econbiz.de/10010906183

Smooth Regimes, Macroeconomic Variables, and Bagging for the Short-Term Interest Rate Process

Audrino, Francesco; Medeiros, Marcelo C. - School of Economics and Political Science, Universität … - 2008

process, in particular when it is used in connection with bootstrap aggregating (bagging). …

Persistent link: https://www.econbiz.de/10005696729

Forecasting the yield curve and the role of macroeconomic information in Turkey

Kaya, Huseyin - In: Economic Modelling 33 (2013) C, pp. 1-7

In this study we investigate the yield curve forecasting performance of Dynamic Nelson–Siegel Model (DNS), affine term structure VAR model (ATSM VAR) and principal component model (PC) in Turkey. We also investigate the role of macroeconomic variables in forecasting the yield curve. We have...

Persistent link: https://www.econbiz.de/10011048868

An econometric approach to macroeconomic risk. A cross country study

Carrera, Jorge Eduardo; Cusolito, Ana Paula; Féliz, Mariano - Volkswirtschaftliche Fakultät, … - 2001

A contribution to the study of volatility and country risk is made in order to achieve a successful crosscountry comparison. We present a methodology for the evaluation of country risk that include endogenous detection of multiple structural breaks (also identifying its different kinds),...

Persistent link: https://www.econbiz.de/10005621868

Forecasting the risk of speculative assets by means of copula distributions

Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … comparisons for a set of 18 stock market indices. In total, four competing copula-GARCH models are contrasted against each other …

Persistent link: https://www.econbiz.de/10010292668