Search Results - subject:"Mixed data sampling"

Economic drivers of volatility and correlation in precious metal markets

Theu Dinh; Goutte, Stéphane; Nguyen, Duc Khuong; … - In: Journal of commodity markets 28 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10014335244

Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model

Xu, Qifa; Chen, Lu; Jiang, Cuixia; Liu, Yezheng - In: Journal of forecasting 41 (2022) 3, pp. 407-421

Persistent link: https://www.econbiz.de/10013166148

Modeling and managing stock market volatility using MRS-MIDAS model

Chen, Wang; Lu, Xinjie; Wang, Jiqian - In: International review of economics & finance : IREF 82 (2022), pp. 625-635

Persistent link: https://www.econbiz.de/10013545774

Exogenous Drivers of Bitcoin and Cryptocurrency Volatility – A Mixed Data Sampling Approach to Forecasting

Walther, Thomas; Klein, Tony; Bouri, Elie - 2018

We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized Cryptocurrencies (Bitcoin, Etherium, Litecoin, Ripple, and Stellar) as well as the Cryptocurrency index CRIX. Based on the prediction quality, we determine the most important...

Persistent link: https://www.econbiz.de/10014284448

Oil Price Changes and U.S. Real GDP Growth: Is this Time Different?

Charfeddine, Lanouar; Klein, Tony; Walther, Thomas - 2018

growth, when taking into consideration mixed data sampling technique. Finally, it puts particular focus on nonlinearity and a … possible instability and shows that combining Markov switching and mixed data sampling models allows to identify different …

Persistent link: https://www.econbiz.de/10014284449