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Volatility Models for Stylized Facts of High-Frequency Financial Data

Kim, Donggyu; Shin, Minseok - 2022

This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility of the proposed volatility process has a realized GARCH...

Persistent link: https://www.econbiz.de/10013405987

Time-Varying Predictability of the Long Horizon Equity Premium Based on Semiparametric Regressions

Yu, Deshui; Li, Chen; Li, Luyang - 2023

illustrates that the nonparametric estimation method works well in finite and large samples. Empirically, the predictability of …

Persistent link: https://www.econbiz.de/10014258471

Empirical simultaneous confidence regions for path-forecasts

Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - 2010

-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate …

Persistent link: https://www.econbiz.de/10003962215

Combination of forecast methods using encompassing tests : an algorithm-based procedure

Costantini, Mauro; Pappalardo, Carmine - 2008

This paper proposes a strategy to increase the efficiency of forecast combining methods. Given the availability of a wide range of forecasting models for the same variable of interest, our goal is to apply combining methods to a restricted set of models. To this aim, an algorithm procedure based...

Persistent link: https://www.econbiz.de/10009735352

Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging

Jumah, Adusei; Kunst, Robert M. - 2008

Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a …

Persistent link: https://www.econbiz.de/10009735355

Is more still better? : revisiting the sixth district coincident indicator

Silos, Pedro; Vilán, Diego - 2009

version of the D6 Factor that improves upon the original model in several ways. While the original D6 based its estimation on … estimation period by a decade. These changes provide the updated model with substantially more information while reducing the … noise in the estimation. -- coincident index ; dynamic factor model …

Persistent link: https://www.econbiz.de/10009419466

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - 2014

Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....

Persistent link: https://www.econbiz.de/10010259630

Forecasting limit order book liquidity supply-demand curves with functional AutoRegressive dynamics

Chen, Ying; Chua, Wee Song; Härdle, Wolfgang - 2016

in liquidity curves, with R2 values as high as 98.5 percent for insample estimation and 98.2 percent in out …

Persistent link: https://www.econbiz.de/10011518802

A note on updating forecasts when new information arrives between two periods

Chen, Pu - 2009

In this note the author discusses the problem of updating forecasts in a time-discrete forecasting model when information arrives between the current period and the next period. To use the information that arrives between two periods, he assumes that the process between two periods can be...

Persistent link: https://www.econbiz.de/10003828904

Combined density nowcasting in an uncertain economic environment

Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - 2014

We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way accounts for time-varying uncertainty of several model and data features in order to provide more accurate and complete density nowcasts. The combination weights are latent random...

Persistent link: https://www.econbiz.de/10010465155