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Changes in Predictive Ability with Mixed Frequency Data

Galvão, Ana Beatriz - School of Economics and Finance, Queen Mary - 2007

This paper proposes a new regression model - a smooth transition mixed data sampling (STMIDAS) approach - that captures recurrent changes in the ability of a high frequency variable in predicting a low frequency variable. The STMIDAS regression is employed for testing changes in the ability of...

Persistent link: https://www.econbiz.de/10005106446

Predicting quarterly aggregates with monthly indicators

Winkelried, Diego - Banco Central de Reserva del Perú - 2012

the so-called Mixed Data Sampling (MIDAS) approach that directly exploits the information content of monthly indicators to … smoothness priors in a distributed lag model, that weakens the restrictions the traditional MIDAS approach imposes on the data to …-nested specifications. It is found that the MIDAS approach is able to timely identify, from monthly information, important signals of the …

Persistent link: https://www.econbiz.de/10010819837

Short-term forecasting with mixed-frequency data: A MIDASSO approach

Siliverstovs, Boriss - KOF Swiss Economic Institute, Department of Management, … - 2015

-Sampling approach (U-MIDAS) (see Foroni et al., 2015; Castle et al., 2009; Bec and Mogliani, 2013), and the LASSO-type penalised …

Persistent link: https://www.econbiz.de/10011196718

Dissecting the Purchasing Managers’ Index: Are all relevant components included? Are all included components relevant?

Siliverstovs, Boriss - KOF Swiss Economic Institute, Department of Management, … - 2015

We apply the novel approach of Siliverstovs (2015) to modelling data sampled at different frequencies in order to scrutinise the composition of one of the most influential economic indicators in Switzerland. The Purchasing Managers' Index consists of eight sub-indices out of which only five...

Persistent link: https://www.econbiz.de/10011203043

Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach

Girardin, Eric; Joyeux, Roselyne - In: Economic Modelling 34 (2013) C, pp. 59-68

In order to shed new light on the influence of volume and economic fundamentals on the long-run volatility of the Chinese stock market we follow the methodology introduced by Engle et al. (2009) and Engle and Rangel (2008) to account for the effects of macro fundamentals, and augment it with...

Persistent link: https://www.econbiz.de/10010709340

Forecasting exchange rate volatility: The superior performance of conditional combinations of time series and option implied forecasts

Benavides, Guillermo; Capistrán, Carlos - 2009

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that are conditional on current information are statistically superior to individual models, unconditional combinations, and hybrid forecasts. Superior forecasting performance is...

Persistent link: https://www.econbiz.de/10010322599

Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models

Röthig, Andreas; Chiarella, Carl - 2006

This article explores nonlinearities in the response of speculators' trading activity to price changes in live cattle, corn, and lean hog futures markets. Analyzing weekly data from March 4, 1997 to December 27, 2005, we reject linearity in all of these markets. Using smooth transition...

Persistent link: https://www.econbiz.de/10010266873

Exchange rate risk premium: An analysis of its determinants for the Mexican Peso-USD

Benavides, Guillermo - 2016

The objective of this paper is to analyze what are the main determinants of the exchange rate risk premium (ERP). The empirical case is conducted for the daily Mexican peso-USD exchange rate for a sample period from 2007 until 2015. According to the results the ERP is influenced by several...

Persistent link: https://www.econbiz.de/10011788935

Quantile regression in risk calibration

Chao, Shih-Kang; Härdle, Wolfgang Karl; Wang, Weining - 2012

Financial risk control has always been challenging and becomes now an even harder problem as joint extreme events occur more frequently. For decision makers and government regulators, it is therefore important to obtain accurate information on the interdependency of risk factors. Given a...

Persistent link: https://www.econbiz.de/10010281552

A time-varying parameter vector autoregression model for forecasting emerging market exchange rates

Kumar, Manish - In: International Journal of Economic Sciences and Applied … 3 (2010) 2, pp. 21-39

In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...

Persistent link: https://www.econbiz.de/10010289449