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Variable Selection and Forecasting in High Dimensional Linear Regressions with Structural Breaks

Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020

This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability …. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …

Persistent link: https://www.econbiz.de/10012269545

Forecasting Exchange Rates: An Investor Perspective

Melvin, Michael; Prins, John; Shand, Duncan - 2013

The popular scholarly exercise of evaluating exchange rate forecasting models relative to a random walk was stimulated … rates approach forecasting from a different perspective. Rather than focus on forecast errors for bilateral exchange rates …

Persistent link: https://www.econbiz.de/10010312861

How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market

Sattarhoff, Cristina; Gronwald, Marc - 2018

This paper proposes a new measure for the evaluation of financial market efficiency, the so-called intermittency coefficient. This is a multifractality measure that can quantify the deviation from a random walk within the framework of the multifractal random walk model by Bacry et al. (2001b)....

Persistent link: https://www.econbiz.de/10011887362

Evaluating emission trading as a policy tool : evidence from conditional jump models

Gronwald, Marc; Ketterer, Janina - 2009

This paper, first, empirically investigates European emission allowance (EUA) prices and, second, evaluates emission trading as a policy measure. Applying combined jump GARCH models yields strong evidence of conditional jump behavior. This implies that EUA prices are subject to unexpected...

Persistent link: https://www.econbiz.de/10010266050

What moves the European carbon market? Insights from conditional jump models

Gronwald, Marc; Ketterer, Janina - 2012

of the carbon price variance are triggered by jumps. Information regarding EUA supply and news from international carbon …

Persistent link: https://www.econbiz.de/10010281924

Long-Run Linkages between US Stock Prices and Cryptocurrencies: A Fractional Cointegration Analysis

Caporale, Guglielmo Maria; de Dios Mazariegos, José Javier - 2022

This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...

Persistent link: https://www.econbiz.de/10013427736

The Economics of Bitcoins - Market Characteristics and Price Jumps

Gronwald, Marc - 2014

This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...

Persistent link: https://www.econbiz.de/10010480798

Persistence, non-linearities and structural breaks in European stock market indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019

This paper examines persistence, structural breaks and non-linearities in the case of five European stock market indices, namely the FTSE100 (UK), DAX30 (Germany), CAC40 (France), IBEX35 (Spain) and FTSE MIB40 (Italy), using fractional integration methods. The empirical results provide no...

Persistent link: https://www.econbiz.de/10012052773

Cycles and Long-Range Behaviour in the European Stock Market

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Poza, Carlos - 2019

This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (non-zero) frequency. The adopted specification is very general, since it allows for fractional...

Persistent link: https://www.econbiz.de/10012179742

Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

forecasting accuracy significantly. Higher uncertainty is found to increase the leverage and macro effects from credit and …

Persistent link: https://www.econbiz.de/10012179799