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Rationality of inflation-output forecasts of MMS survey : international evidence
Ulu, Yasemin - In: Applied economics 47 (2015) 10/12, pp. 1187-1198
Persistent link: https://www.econbiz.de/10010486260
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Multivariate test for forecast rationality under asymmetric loss functions : recent evidence from MMS survey of inflation-output forecasts
Ulu, Yasemin - In: Economics letters 119 (2013) 2, pp. 168-171
Persistent link: https://www.econbiz.de/10009745781
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Sampling properties of criteria for evaluating GARCH volatility forecasts
Ulu, Yasemin - In: Applied financial economics 17 (2007) 7/9, pp. 671-681
Persistent link: https://www.econbiz.de/10003491214
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Optimal prediction under LINLIN loss : empirical evidence
Ulu, Yasemin - In: International journal of forecasting 23 (2007) 4, pp. 707-715
Persistent link: https://www.econbiz.de/10003616100
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A comparison of the runs test for volatility forecastability and the LM test for GARCH using aggregated returns
Ulu, Yasemin - In: Econometric reviews 26 (2007) 5, pp. 557-566
Persistent link: https://www.econbiz.de/10003549312
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Out-of-sample forecasting performance of the QGARCH model
Ulu, Yasemin - In: Applied financial economics letters 1 (2005) 6, pp. 387-392
Persistent link: https://www.econbiz.de/10003229640
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Japanese foreign exchange intervention and the Yen/Dollar exchange rate: a simultaneous equations approach using realized volatility
Hillebrand, Eric; Schnabl, Gunther; Ulu, Yasemin - 2006
We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility, and interventions without endogeneity bias. We find that...
Persistent link: https://www.econbiz.de/10010263952
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Optimal prediction under LINLIN loss: Empirical evidence
Ulu, Yasemin - In: International Journal of Forecasting 23 (2007) 4, pp. 707-715
Persistent link: https://www.econbiz.de/10005429446
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Out-of-sample forecasting performance of the QGARCH model
Ulu, Yasemin - In: Applied Financial Economics Letters 1 (2005) 6, pp. 387-392
The population value of the R 2 is derived from the Mincer-Zarnowitz volatility forecast regression for a QGARCH(1,1). The study shows that the population R 2 exceeds that of the standard GARCH(1,1). This indicates that accounting for asymmetry in the conditional variance process can increase...
Persistent link: https://www.econbiz.de/10005495877
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Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility
Hillebrand, Eric; Schnabl, Gunther; Ulu, Yasemin - CESifo - 2006
We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility, and interventions without endogeneity bias. We find that...
Persistent link: https://www.econbiz.de/10005181300