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Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence

Wang, Jiqian; Huang, Yisu; Ma, Feng; Chevallier, Julien - In: Energy economics 91 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012518664

Macroeconomic forecasting and business cycle analysis with nonlinear models

Heinrich, Markus - 2020

Persistent link: https://www.econbiz.de/10012624946

Forecasting with vector autoregressive models of data vintages : US output growth and inflation

Clements, Michael P.; Galvão, Ana Beatriz C. - In: International journal of forecasting 29 (2013) 4, pp. 698-714

Persistent link: https://www.econbiz.de/10010221301

Trading and non-trading period realized market volatility : does it matter for forecasting the volatility of US stocks?

Lyócsa, Štefan; Todorova, Neda - In: International journal of forecasting 36 (2020) 2, pp. 628-645

Persistent link: https://www.econbiz.de/10012415313

Nowcasting of the US unemployment rate using Google Trends

Nagao, Shintaro; Takeda, Fumiko; Tanaka, Riku - In: Finance research letters 30 (2019), pp. 103-109

Persistent link: https://www.econbiz.de/10012420306

Time series prognostication models applied to the US dollar and the Japanes yen

Arize, Augustine Chuck; Berendt, Charles J.; … - In: The international journal of finance 27 (2015) 4, pp. 501-516

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Dating US business cycles with macro factors

Fossati, Sebastian - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 5, pp. 529-547

Persistent link: https://www.econbiz.de/10011649152

Factor models for non-stationary series : estimates of monthly U.S. GDP

Hengge, Martina; Leonard, Seton - 2017

This paper presents a novel dynamic factor model for non-stationary data. We begin by constructing a simple dynamic stochastic general equilibrium growth model and show that we can represent and estimate the model using a simple linear-Gaussian (Kalman) filter. Crucially, consistent estimation...

Persistent link: https://www.econbiz.de/10011669132

Forecasting U.S. real GDP using oil prices : a time-varying parameter MIDAS model

Pan, Zhiyuan; Wang, Qing; Wang, Yudong; Li, Yang - In: Energy economics 72 (2018), pp. 177-187

Persistent link: https://www.econbiz.de/10011972301

Old dog, new tricks : a modelling view of simple moving averages

Svetunkov, Ivan; Petropoulos, Fotios - In: International journal of production research 56 (2018) 18, pp. 6034-6047

Persistent link: https://www.econbiz.de/10011946789

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