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Consistent ranking of multivariate volatility models

LAURENT, Sebastien; ROMBOUTS, Jeroen V.K.; VIOLANTE, … - Center for Operations Research and Econometrics (CORE), … - 2009

framework. This paper examines the ranking of multivariate volatility models in terms of their ability to forecast out … evaluate the distance between the true covariance matrix and its forecast. The evaluation of multivariate volatility models … requires the use of a proxy for the unobservable volatility matrix which may shift the ranking of the models. Therefore, to …

Persistent link: https://www.econbiz.de/10008550212

On loss functions and ranking forecasting performances of multivariate volatility models

Laurent, Sébastien; Rombouts, Jeroen V.K.; Violante, … - In: Journal of Econometrics 173 (2013) 1, pp. 1-10

The ranking of multivariate volatility models is inherently problematic because when the unobservable volatility is … the size of the distortion is strictly tied to the level of the accuracy of the volatility proxy. We propose a generalized …

Persistent link: https://www.econbiz.de/10010608475

Lag-length Selection in VAR-models Using Equal and Unequal Lag-Length Procedures

Gredenhoff, Mikael; Karlsson, Sune - Economics Institute for Research (SIR), … - 1997

It is well known that inference in vector autoregressive models depends crucially on the choice of lag-length. Various lag-length selection procedures have been suggested and evaluated in the literature. In these evaluations the possibility that the true model may have unequal lag-length has,...

Persistent link: https://www.econbiz.de/10005423870

Macroeconomic Policies for Poverty Reduction in Cambodia

Lord, Montague J. - Volkswirtschaftliche Fakultät, … - 2001

Provides analysis for a practical action planto implement pro-poor policies through macroeconomic initiatives. The study covers sequencing and implementation issues and provides estimates of both macro and significant microeconomic impacts. The major components of the study are (a) a general...

Persistent link: https://www.econbiz.de/10011107517

Modeling the Open Macro-Economy of Vietnam

Lord, Montague J. - Volkswirtschaftliche Fakultät, … - 1998

The present macroeconomic model aims to provide a theory-consistent representation of the general structure of the Viet …

Persistent link: https://www.econbiz.de/10011109153

A Macroeconomic Model for Romania's Flexible Exchange Rate System

Lord, Montague J. - Volkswirtschaftliche Fakultät, … - 1994

The transition process of the Romanian economy motivated the design of a model that provides for a parsimonious representation of the structure of the economy, exploits the increased availability of data for the system of national accounts, and recognizes time-variant parameters that can result...

Persistent link: https://www.econbiz.de/10011111567

Understanding volatility dynamics in the EU-ETS market

Sanin, Maria Eugenia; Mansanet-Bataller, Maria; … - School of Economics and Management, University of Aarhus - 2015

We study the short-term price behavior of Phase 2 EU emission allowances. We model returns and volatility dynamics, and …'s announcements regarding the supply of permits. We show that (i) sharp increases in volume have led to increased volatility during … in the process that tend to increase volatility across both periods. Thus, authorities face a trade off between …

Persistent link: https://www.econbiz.de/10011158461

Macroeconomic Forecasting Using Low-Frequency Filters

Azevedo, João Valle e; Pereira, Ana - Banco de Portugal - 2013

We explore the use of univariate low-frequency filters in macroeconomic forecasting. This amounts to targeting only specific fluctuations of the time series of interest. We show through simulations that such approach is warranted and, using US data, we confirm empirically that consistent gains...

Persistent link: https://www.econbiz.de/10011162085

The Elasticities Approach to Egypt’s Balance of Payments and Equilibrium Exchange Rate

Lord, Montague J. - Volkswirtschaftliche Fakultät, … - 1999

a theory-consistent representation of the behavioral relationships in the balance of payments, and it offers forecasting …

Persistent link: https://www.econbiz.de/10011259979

On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratanovich – Kalman – Bucy filters for Gaussian linear investment returns distribution and 2. Particle filters for non-Gaussian non-linear investment returns distribution

Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013

The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...

Persistent link: https://www.econbiz.de/10011260821