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Biofuels and food prices: Searching for the causal link

Bastianin, Andrea; Galeotti, Marzio; Manera, Matteo - 2013

We analyze the relationship between the prices of ethanol, agricultural commodities and livestock in Nebraska, the U.S. second largest ethanol producer. The paper focuses on long-run relations and Granger causality linkages between ethanol and the other commodities. The analysis takes possible...

Persistent link: https://www.econbiz.de/10010294304

Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching

Lux, Thomas; Kaizoji, Taisei - 2006

-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …

Persistent link: https://www.econbiz.de/10010294979

Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models

Lux, Thomas; Kaizoji, Taisei - 2004

-memory counterparts. Since long memory models should have a particular advantage over long forecasting horizons, we consider predictions …

Persistent link: https://www.econbiz.de/10010295136

Using wavelets for time series forecasting: Does it pay off?

Schlüter, Stephan; Deuschle, Carola - 2010

incorporating the wavelet transform in existing forecasting methods can improve their quality. The article aims to verify this by … characteristics. We find that wavelets do improve the forecasting quality. Depending on the data's characteristics and on the … forecasting horizon we either favour a denoising step plus an ARIMA forecast or an multiscale wavelet decomposition plus an ARIMA …

Persistent link: https://www.econbiz.de/10010300727

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

Siliverstovs, Boriss - 2015

regression used in Bai and Ng (2008), called the elastic net (Zou and Hastie, 2005). We illustrate our approach by forecasting …

Persistent link: https://www.econbiz.de/10011307779

Dissecting models' forecasting performance

Siliverstovs, Boriss - 2015

In this paper we suggest an approach to comparison of models' forecasting performance in unstable environments. Our … tracking how the relative forecasting performance of competing models evolves over time. We illustrate the suggested approach …

Persistent link: https://www.econbiz.de/10011417859

An Alternative Bayesian Approach to Structural Breaks in Time Series Models

van den Hauwe, Sjoerd; Paap, Richard; van Dijk, Dick J.C. - 2011

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

Persistent link: https://www.econbiz.de/10010325904

Forecasting trade

Keck, Alexander; Raubold, Alexander - 2006

This paper develops a set of time series models to provide short-term forecasts (6 to 18 months ahead) of international trade both at the global level and for selected regions. Our results compare favourably to other forecasts, notably by the International Monetary Fund, as measured by standard...

Persistent link: https://www.econbiz.de/10010326691

Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction

Duong, Diep; Swanson, Norman R. - 2013

forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

Persistent link: https://www.econbiz.de/10010334248

The informational content of over-the-counter currency options

Christoffersen, Peter; Mazzotta, Stefano - 2004

Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset...

Persistent link: https://www.econbiz.de/10011604412