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Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques

Kock, Anders Bredahl; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2011

In this paper we consider the forecasting performance of a well-defined class of flexible models, the so-called single hidden-layer feedforward neural network models. A major aim of our study is to find out whether they, due to their flexibility, are as useful tools in economic forecasting as...

Persistent link: https://www.econbiz.de/10009277000

Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009

Kock, Anders Bredahl; Teräsvirta, Timo - School of Economics and Management, University of Aarhus - 2011

In this work we consider forecasting macroeconomic variables dur- ing an economic crisis. The focus is on a specific class of models, the so-called single hidden-layer feedforward autoregressive neural net- work models. What makes these models interesting in the present context is that they form...

Persistent link: https://www.econbiz.de/10009283381

Conservatism in Corporate Valuation

Bach, Christian - School of Economics and Management, University of Aarhus - 2011

Using a CCAPM based risk adjustment model, consistent with general asset pricing theory, I perform corporate valuations of a large sample of stocks listed on NYSE, AMEX and NASDAQ. The model is different from the standard CAPM model in the sense that it discounts forecasted residual income for...

Persistent link: https://www.econbiz.de/10009293656

Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data

Haldrup, Niels; Hylleberg, Svend; Pons, Gabriel; … - School of Economics and Management, University of Aarhus - 2005

This paper presents a new framework for coping with problems often encountered when modeling seasonal high frequency data containing both flow and stock variables. The idea is to apply a multivariate weekly representation of a daily periodic model and to exploit the possible cointegration and...

Persistent link: https://www.econbiz.de/10010851169

Improving Size and Power in Unit Root Testing

Haldrup, Niels; Jansson, Michael - School of Economics and Management, University of Aarhus - 2005

A frequent criticism of unit root tests concerns the poor power and size properties that many of such tests exhibit. However, the past decade or so intensive research has been conducted to alleviate these problems and great advances have been made. The present paper provides a selective survey...

Persistent link: https://www.econbiz.de/10010851181

Exponential GARCH Modeling with Realized Measures of Volatility

Hansen, Peter Reinhard; Huang, Zhuo - School of Economics and Management, University of Aarhus - 2012

We introduce the Realized Exponential GARCH model that can utilize multiple realized volatility measures for the … characterized by a flexible modeling of the dependence between returns and volatility. We apply the model to DJIA stocks and an …

Persistent link: https://www.econbiz.de/10010851191

Bootstrapping pre-averaged realized volatility under market microstructure noise

Hounyo, Ulrich; Goncalves, Sílvia; Meddahi, Nour - School of Economics and Management, University of Aarhus - 2013

The main contribution of this paper is to propose a bootstrap method for inference on integrated volatility based on … only when volatility is constant. The failure of the blocks of blocks bootstrap is due to the heterogeneity of the squared … pre-averaged returns when volatility is stochastic. To preserve both the dependence and the heterogeneity of squared pre …

Persistent link: https://www.econbiz.de/10010851203

Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy

Aslanidis, Nektarios; Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2012

This paper adopts quantile regressions to scrutinize the realized stock-bond correlation based upon high frequency returns. The paper provides in-sample and out-of-sample analysis and considers a large number of macro-?nance predictors well-know from the return predictability literature. Strong...

Persistent link: https://www.econbiz.de/10010851209

The Selection of ARIMA Models with or without Regressors

Johansen, Søren; Riani, Marco; Atkinson, Anthony C. - School of Economics and Management, University of Aarhus - 2012

We develop a $C_{p}$ statistic for the selection of regression models with stationary and nonstationary ARIMA error term. We derive the asymptotic theory of the maximum likelihood estimators and show they are consistent and asymptotically Gaussian. We also prove that the distribution of the sum...

Persistent link: https://www.econbiz.de/10010851214

Simulation of multivariate diffusion bridges

Bladt, Mogens; Finch, Samuel; Sørensen, Michael - School of Economics and Management, University of Aarhus - 2014

We propose simple methods for multivariate diffusion bridge simulation, which plays a fundamental role in simulation-based likelihood and Bayesian inference for stochastic differential equations. By a novel application of classical coupling methods, the new approach generalizes a previously...

Persistent link: https://www.econbiz.de/10010851217