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Forecasting with Approximate Dynamic Factor Models : The Role of Non-Pervasive Shocks

Luciani, Matteo - 2011

In this paper we investigate whether accounting for non-pervasive shocks improves the forecast of a factor model. We compare four models on a large panel of US quarterly data: factor models, factor models estimated on selected variables, Bayesian shrinkage, and factor models together with...

Persistent link: https://www.econbiz.de/10013120664

Does Modeling Jumps Help? A Comparison of Realized Volatility Models for Risk Prediction

Liao, Yin - 2012

Recent literature has focuses on realized volatility models to predict financial risk. This paper studies the benefit of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized volatility models are compared in terms of their VaR forecasting...

Persistent link: https://www.econbiz.de/10013105658

Forecasting UK GDP Growth, Inflation and Interest Rates under Structural Change : A Comparison of Models with Time-Varying Parameters

Barnett, Alina - 2012

Evidence from a large and growing empirical literature strongly suggests that there have been changes in inflation and output dynamics in the United Kingdom. This is largely based on a class of econometric models that allow for time-variation in coefficients and volatilities of shocks. While...

Persistent link: https://www.econbiz.de/10013106251

Factor GARCH-ITO Models for High-Frequency Data with Application to Large Volatility Matrix Prediction

Kim, Donggyu - 2017

Several novel large volatility matrix estimation methods have been developed based on the high-frequency financial data … matrix and facilitates estimation of large volatility matrices. However, for predicting future volatility matrices, these … a quasi-maximum likelihood estimation method for the parameter of the factor GARCH-Ito model. We also apply it to …

Persistent link: https://www.econbiz.de/10012941598

Forecasting Limit Order Book Liquidity Supply-Demand Curves with Functional Autoregressive Dynamics

Chen, Ying - 2017

in-sample estimation and 98.2 percent in out-of-sample forecast experiments. It produces accurate 5-, 25- and 50-$minute …

Persistent link: https://www.econbiz.de/10012968564

Time Series Approach to the Evolution of Networks : Prediction and Estimation

Bykhovskaya, Anna - 2021

and techniques for estimation of the parameters of the model and for prediction of its future values.Natural applications …

Persistent link: https://www.econbiz.de/10013216722

Policy-Oriented Macroeconomic Forecasting With Hybrid DSGE and Time-Varying Parameter VAR Models

Bekiros, Stelios - 2013

models for forecasting, although this proved to be problematic, due to estimation and identification issues. Hybrid DSGE …

Persistent link: https://www.econbiz.de/10013079672

Tracking economic activity with alternative high-frequency data

Eckert, Florian; Kronenberg, Philipp; Mikosch, Heiner; … - 2020

Most macroeconomic indicators failed to capture the sharp economic fluctuations during the Corona crisis in a timely manner. Instead, alternative high-frequency data have been used, aiming to monitor the economic situation. However, these data are often only loosely related to the business cycle...

Persistent link: https://www.econbiz.de/10012395297

Bivariate volatility modeling with high-frequency data

Matei, Marius; Rovira, Xari; Agell, Núria - In: Econometrics : open access journal 7 (2019) 3/41, pp. 1-15

leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that … volatility information improves the day volatility estimation. The results indicate a forecasting improvement using bivariate …

Persistent link: https://www.econbiz.de/10012160811

Forecasting sovereign bond realized volatility using time-varying coefficients model

Malinska, Barbora - 2021

This paper studies predictability of realized volatility of U.S. Treasury futures using high-frequency data for 2-year, 5-year, 10-year and 30-year tenors from 2006 to 2017. We extend heterogeneous autoregressive model by Corsi (2009) by higher-order realized moments and allow all model...

Persistent link: https://www.econbiz.de/10012542381