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Forecasting the risk of speculative assets by means of copula distributions

Beckers, Benjamin; Herwartz, Helmut; Seidel, Moritz - 2013

The GARCH(1,1) model and its extensions have become a standard econometric tool for modeling volatility dynamics of … financial returns and port-folio risk. In this paper, we propose an adjustment of GARCH implied conditional value-at-risk and … means of conditional moments of simulated bivariate standardized copula distributions. We conduct in-sample forecasting …

Persistent link: https://www.econbiz.de/10010292668

A noncausal autoregressive model with time-varying parameters: An application to US inflation

Lanne, Markku; Luoto, Jani - 2013

We propose a noncausal autoregressive model with time-varying parameters, and apply it to U.S. postwar inflation. The model .fits the data well, and the results suggest that inflation persistence follows from future expectations. Persistence has declined in the early 1980.s and slightly...

Persistent link: https://www.econbiz.de/10010292666

Google searches as a means of improving the nowcasts of key macroeconomic variables

Kholodilin, Konstantin Arkadievich; Podstawski, Maximilian - 2009

subject to revisions. This makes them an excellent source of information for the macroeconomic forecasting. …

Persistent link: https://www.econbiz.de/10010274377

Multicointegration in US consumption data

Siliverstovs, Boriss - 2003

The present paper tests for the existence of multicointegration between real per capita private consumption expenditure and real per capita disposable personal income in the USA. In doing so, we exploit the fact that the flows of disposable income and consumption expenditure on the one hand, and...

Persistent link: https://www.econbiz.de/10010260704

Declining Output Volatility in Germany : Impulses, Propagation, and the Role of Monetary Policy

Fritsche, Ulrich; Kuzin, Vladimir N. - 2004

We analyse the decline in output volatility in Germany. A lower level of variance in an autoregressive model of output growth can be either due to a change in the structure of the economy (a change in the propagation mechanism) or a reduced error term variance (reduced impulses). In Germany the...

Persistent link: https://www.econbiz.de/10010274489

Noncausality and inflation persistence

Lanne, Markku - 2013

We use noncausal autoregressions to examine the persistence properties of quarterly U.S. consumer price inflation from 1970:1.2012:2. These nonlinear models capture the autocorrelation structure of the inflation series as accurately as their conventional causal counterparts, but they allow for...

Persistent link: https://www.econbiz.de/10010292685

Do Google searches help in nowcasting private consumption? A real-time evidence for the US

Kholodilin, Konstantin Arkadievich; Podstawski, Maximilian - 2010

) procedure (Hansen et al., 2005) suggest that the autoregressive benchmark is not selected into a set of the best forecasting …

Persistent link: https://www.econbiz.de/10010274411

The real-time predictive content of asset price bubbles for macro forecasts

Beckers, Benjamin - 2015

This paper contributes to the debate of whether central banks can \lean against the wind" of emerging stock or house price bubbles. Against this background, the paper evaluates if new advances in real-time bubble detection, as brought forward by Phillips et al. (2011), can timely detect bubble...

Persistent link: https://www.econbiz.de/10011310228

Volatility patterns of CDS, bond and stock markets before and during the financial crisis: Evidence from major financial institutions

Belke, Ansgar; Gokus, Christian - 2011

. A generalized autoregressive conditional heteroscedasticity (GARCH) model is applied to the data of four large US banks … over the period ranging from January 01, 2006, to December 31, 2009. More specifically, a multivariate GARCH approach fits …

Persistent link: https://www.econbiz.de/10010286057

Long-run forecasting in multicointegrated systems

Engsted, Tom; Siliverstovs, Boriss; Haldrup, Niels - 2003

We extend the analysis of Christoffersen and Diebold (1998) on long-run forecasting in cointegrated systems to …, this new loss function entails high and increasing forecasting gains compared to both the standard MSFE criterion and …

Persistent link: https://www.econbiz.de/10010260703