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The multi-fractal model of asset returns: Its estimation via GMM and its use for volatility forecasting

Lux, Thomas - 2003

forecasting financial volatility. We use the auto-covariances of log increments of the multi-fractal process in order to estimate … ?scaling? approach. Our empirical estimates are used in out-of-sample forecasting of volatility for a number of important …

Persistent link: https://www.econbiz.de/10010295056

The multi-fractal model of asset returns : its estimation via GMM and its use for volatility forecasting

Lux, Thomas - Institut für Volkswirtschaftslehre, … - 2003

Persistent link: https://www.econbiz.de/10005082872

The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility

Lux, Thomas - 2004

Bayesian forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of … leads to gains in forecasting accuracy for some time series. …

Persistent link: https://www.econbiz.de/10010295106

The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility

Lux, Thomas - 2006

forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of volatility … leads to gains in forecasting accuracy for some time series. …

Persistent link: https://www.econbiz.de/10010295151

The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility

Lux, Thomas - Institut für Volkswirtschaftslehre, … - 2004

Bayesian forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of … leads to gains in forecasting accuracy for some time series. …

Persistent link: https://www.econbiz.de/10005082869

The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility

Lux, Thomas - Institut für Volkswirtschaftslehre, … - 2006

forecasting of volatility. However, applicability of MLE is restricted to cases with a discrete distribution of volatility … leads to gains in forecasting accuracy for some time series. …

Persistent link: https://www.econbiz.de/10005082887

Forecast Evaluation of Explanatory Models of Financial Variability

Sucarrat, Genaro - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-8, pp. 1-33

A practice that has become widespread and widely endorsed is that of evaluating forecasts of financial variability obtained from discrete time models by comparing them with high-frequency ex post estimates (e.g. realised volatility) based on continuous time theory. In explanatory financial...

Persistent link: https://www.econbiz.de/10010332964

Forecast Evaluation of Explanatory Models of Financial Variability

Sucarrat, Genaro - In: Economics - The Open-Access, Open-Assessment E-Journal 3 (2009), pp. 1-33

Persistent link: https://www.econbiz.de/10005082938

The Role of Financial Variables in Predicting Economic Activity in the Euro Area

Lombardi, Marco; Espinoza, Raphael A.; Fornari, Fabio - International Monetary Fund (IMF) - 2009

. This result is partly due to the 'average' nature of the RMSE metric: when forecasting ability is assessed as if in real …

Persistent link: https://www.econbiz.de/10008540921

The Use of Qualitative Business Tendency: Surveys for Forecasting Business Investmentin Germany

Abberger, Klaus - 2005

models. The forecasting performance is assessed through filtered residuals. The analyses show that the business survey is …

Persistent link: https://www.econbiz.de/10010312096