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Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2012
modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM …
Persistent link: https://www.econbiz.de/10010330969
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Adaptive order flow forecasting with multiplicative error models
Härdle, Wolfgang Karl; Mihoci, Andrija; Ting, … - 2014
A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...
Persistent link: https://www.econbiz.de/10010427064
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Forecasting euro-area variables with German pre-EMU data
Brüggemann, Ralf; Lütkepohl, Helmut; Marcellino, … - 2006
period 1970Q1 - 2003Q4 for ten macroeconomic variables. The years 2000 - 2003 are used as forecasting period. A range of … different univariate forecasting methods is applied. Some of them are based on linear autoregressive models and we also use some … forecasting variables which need considerable adjustments in their levels when joining German and EMU data. These results suggest …
Persistent link: https://www.econbiz.de/10010263654
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Local Adaptive Multiplicative Error Models for High- Frequency Forecasts
Härdle, Wolfgang - 2013
modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM …
Persistent link: https://www.econbiz.de/10013077176
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Pricing Chinese rain: A multisite mulit-period equilibrium pricing model for rainfall derivatives
Härdle, Wolfgang Karl; Osipenko, Maria - 2011
Many industries are exposed to weather risk which they can transfer on financial markets via weather derivatives. Equilibrium models based on partial market clearing became a useful tool for pricing such kind of financial instruments. In a multi-period equilibrium pricing model agents rebalance...
Persistent link: https://www.econbiz.de/10010319197
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Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - 2010
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...
Persistent link: https://www.econbiz.de/10010281483
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Varying coefficient GARCH versus local constant volatility modeling. Comparison of the predictive power
Polzehl, Jörg; Spokoiny, Vladimir - Sonderforschungsbereich Ökonomisches Risiko <Berlin>
GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulation example that … the GARCH approach may lead to a serious model misspecification if the assumption of stationarity is violated. In … particular, the well known integrated GARCH effect can be explained by nonstationarity of the time series. We then introduce a …
Persistent link: https://www.econbiz.de/10005854708
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Stochastic PopulationForecast for Germany and itsConsequence for the GermanPension System
Härdle, Wolfgang; Mysickova, Alena - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2009
Population forecasts are crucial for many social, political and economic decisions. Officialpopulation projections rely in general on deterministic models which use different scenariosfor future vital rates to indicate uncertainty. However, this technique shows substantialweak points such as...
Persistent link: https://www.econbiz.de/10008939790
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Copula dynamics in CDOs
Choros-Tomczyk, Barbara; Härdle, Wolfgang Karl; … - 2012
Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default performance of the assets in the collateral pool. The dependence between the names in the portfolio mainly depends on current economic conditions. Therefore, a correlation implied from tranches...
Persistent link: https://www.econbiz.de/10010318769
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Varying coefficient GARCH versus local constant volatility modeling: Comparison of the predictive power
Polzehl, Jörg; Spokoiny, Vladimir - 2006
GARCH(1,1) model also demonstrates a relatively good forecasting performance as far as the short term forecasting horizon is …GARCH models are widely used in financial econometrics. However, we show by mean of a simple simulation example that … the GARCH approach may lead to a serious model misspecification if the assumption of stationarity is violated. In …
Persistent link: https://www.econbiz.de/10010265657