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Multiple days ahead realized volatility forecasting : single, combined and average forecasts

Degiannakis, Stavros - In: Global finance journal 36 (2018), pp. 41-61

Persistent link: https://www.econbiz.de/10012125013

Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities

Sattarhoff, Cristina; Lux, Thomas - In: International journal of forecasting 39 (2023) 4, pp. 1678-1697

Persistent link: https://www.econbiz.de/10014465344

Can asymmetry, long memory, and current return information improve crude oil volatility prediction? : evidence from ASHARV-MIDAS model

Chen, Zhenlong; Liu, Junjie; Hao, Xiaozhen - In: Finance research letters 64 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10014531739

Policy and business cycle shocks : a structural factor model representation of the US economy

Forni, Mario; Gambetti, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-21

We use a dynamic factor model to provide a semi-structural representation for 101 quarterly US macroeconomic series. We find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock specification, we identify, using sign...

Persistent link: https://www.econbiz.de/10012626760

Deep distributional time series models and the probabilistic forecasting of intraday electricity prices

Klein, Nadja; Smith, Michael S.; Nott, David J. - In: Journal of applied econometrics 38 (2023) 4, pp. 493-511

Persistent link: https://www.econbiz.de/10014288014

Structural analysis with mixed-frequency data : a model of US capital flows

Bacchiocchi, Emanuele; Bastianin, Andrea; Missale, … - In: Economic modelling 89 (2020), pp. 427-443

Persistent link: https://www.econbiz.de/10012426146

Spanish GDP short-term point and density forecasting using a mixed-frequency dynamic factor model

Fresoli, Diego - In: SERIEs : Journal of the Spanish Economic Association 15 (2024) 2, pp. 145-177

We have assessed the effect of data releases when constructing short-term point and density forecasts of the Spanish gross domestic product growth. For this purpose, we considered a real-forecasting exercise in which we defined several pseudo-data vintages that had a mixture of monthly and...

Persistent link: https://www.econbiz.de/10015073109

A skewed student-t value-at-risk approach for long memory volatility processes in Japanese financial markets

Yoon, Seong-min; Kang, Sang-hoon - In: Dae oe gyeong je yeon gu 11 (2007) 1, pp. 211-241

Persistent link: https://www.econbiz.de/10003626252

Modelling Okun's law : does non-Gaussianity matter?

Kiss, Tamás; Nguyen, Hoang; Österholm, Pär - In: Empirical economics : a quarterly journal of the … 64 (2023) 5, pp. 2183-2213

Persistent link: https://www.econbiz.de/10014253796

Topological tail dependence : evidence from forecasting realized volatility

Souto, Hugo Gobato - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-26

This paper proposes a novel theory, coined as Topological Tail Dependence Theory, that links the mathematical theory … behind Persistent Homology (PH) and the financial stock market theory. This study also proposes a novel algorithm to measure … topological stock market changes as well as the incorporation of these topological changes into forecasting realized volatility …

Persistent link: https://www.econbiz.de/10014514075