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Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask

Fantazzini, Dean; Geraskin, Petr - Volkswirtschaftliche Fakultät, … - 2011

Sornette et al. (1996), Sornette and Johansen (1997), Johansen et al. (2000) and Sornette (2003a) proposed that, prior to crashes, the mean function of a stock index price time series is characterized by a power law decorated with log-periodic oscillations, leading to a critical point that...

Persistent link: https://www.econbiz.de/10011113835

Wavelet-Based Prediction for Governance, Diversi cation and Value Creation Variables

Kahloul, Ines; Ben Mabrouk, Anouar; Hallara, Salah-Eddine - Volkswirtschaftliche Fakultät, … - 2009

We study the possibility of completing data bases of a sample of governance, diversification and value creation variables by providing a well adapted method to reconstruct the missing parts in order to obtain a complete sample to be applied for testing the ownership-structure / diversification...

Persistent link: https://www.econbiz.de/10008695087

Multi-jumps

Caporin, Massimiliano; Kolokolov, Aleksey; Renò, Roberto - Volkswirtschaftliche Fakultät, … - 2014

increases of the variance risk-premium, and possess a statistically significant forecasting power for future volatility and …

Persistent link: https://www.econbiz.de/10011114447

Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery

Schröder, Anna Louise; Fryzlewicz, Piotr - Volkswirtschaftliche Fakultät, … - 2013

Low-frequency financial returns can be modelled as centered around piecewise-constant trend functions which change at certain points in time. We propose a new stochastic time series framework which captures this feature. The main ingredient of our model is a hierarchically-ordered oscillatory...

Persistent link: https://www.econbiz.de/10011108954

Forecasting with Factor Models: A Bayesian Model Averaging Perspective

Dimitris, Korobilis - Volkswirtschaftliche Fakultät, … - 2013

volatility and structural breaks. Our results indicate that ignoring structural breaks in the loadings can be quite costly in …

Persistent link: https://www.econbiz.de/10011111484

Exponential Smoothing, Long Memory and Volatility Prediction

Proietti, Tommaso - Volkswirtschaftliche Fakultät, … - 2014

Extracting and forecasting the volatility of financial markets is an important empirical problem. Time series of … realized volatility or other volatility proxies, such as squared returns, display long range dependence. Exponential smoothing … address the prediction of volatility by a FerIMA model and carry out a recursive forecasting experiment, which proves that the …

Persistent link: https://www.econbiz.de/10011111860

A Disaggregate Model and Second Round Effects for the CPI Inflation in Costa Rica

Leon, Jorge - Volkswirtschaftliche Fakultät, … - 2012

disaggregate data is at least as good as the aggregate data in forecast accuracy. The disaggregate model allows to differentiate …

Persistent link: https://www.econbiz.de/10011114384

Forecasting macroeconomic variables using a structural state space model

de Silva, Ashton - Volkswirtschaftliche Fakultät, … - 2008

This paper has a twofold purpose; the first is to present a small macroeconomic model in state space form, the second is to demonstrate that it produces accurate forecasts. The first of these objectives is achieved by fitting two forms of a structural state space macroeconomic model to Australian...

Persistent link: https://www.econbiz.de/10005622122

Aggiornamento del modello al 1974 e nuove simulazioni

Bianchi, Carlo; Calzolari, Giorgio; Corsi, Paolo; … - Volkswirtschaftliche Fakultät, … - 1974

A well known macroeconometric model of the Italian economy is updated to produce forecasts at 1974.

Persistent link: https://www.econbiz.de/10008595619

Does BIC Estimate and Forecast Better than AIC?

Medel, Carlos A.; Salgado, Sergio C. - Volkswirtschaftliche Fakultät, … - 2012

We test two questions: (i) Is the Bayesian Information Criterion (BIC) more parsimonious than Akaike Information Criterion (AIC)?, and (ii) Is BIC better than AIC for forecasting purposes? By using simulated data, we provide statistical inference of both hypotheses individually and then jointly...

Persistent link: https://www.econbiz.de/10011107307