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On realized volatility of crude oil futures markets : forecasting with exogenous predictors under structural breaks
Luo, Jiawen; Ji, Qiang; Klein, Tony; Todorova, Neda; … - In: Energy economics 89 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012517048
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Forecasting the volatility of agricultural commodity futures : the role of co-volatility and oil volatility
Marfatia, Hardik A.; Ji, Qiang; Luo, Jiawen - In: Journal of forecasting 41 (2022) 2, pp. 383-404
Persistent link: https://www.econbiz.de/10012817783
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Forecasting the conditional distribution of realized volatility of oil price returns : the role of skewness over 1859 to 2023
Gupta, Rangan; Ji, Qiang; Pierdzioch, Christian; … - 2023
Persistent link: https://www.econbiz.de/10014304985
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Energy market uncertainties and exchange rate volatility : a GARCHMIDAS approach
Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2024
Persistent link: https://www.econbiz.de/10014521267
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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/10011439254
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Business confidence and forecasting of housing prices and rents in large German cities
Cholodilin, Konstantin Arkadʹevič; Siliverstovs, Boriss - 2014
predict the dynamics of home rents and prices in the nearest future. In this paper, we evaluate the forecasting ability of 115 … framework of a quasi out-of-sample forecasting. Its results are quite heterogeneous. No single indicator appears to dominate all …
Persistent link: https://www.econbiz.de/10011505867
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A dynamic panel data approach to the forecasting of the GDP of German Länder
Cholodilin, Konstantin Arkadʹevič; Siliverstovs, Boriss; … - 2007 - Corrected version
even more pronounced at longer forecasting horizons (the forecast accuracy gain as measured by the root mean squared … spatial dependence structure into regional forecasting models, especially, when long-term forecasts are made. …
Persistent link: https://www.econbiz.de/10012039490
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Exploiting the monthly data flow in structural forecasting
Giannone, Domenico; Monti, Francesca; Reichlin, Lucrezia - 2015
predictive accuracy in now-casting and forecasting. Our empirical results show that both the monthly version of the DSGE and the …
Persistent link: https://www.econbiz.de/10011399325
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Short-term forecasting with mixed-frequency data : a MIDASSO approach
Siliverstovs, Boriss - 2015
regression used in Bai and Ng (2008), called the elastic net (Zou and Hastie, 2005). We illustrate our approach by forecasting …
Persistent link: https://www.econbiz.de/10010498420
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Common factors of commodity prices
Delle Chiaie, Simona; Ferrara, Laurent; Giannone, Domenico - 2017
In this paper we extract latent factors from a large cross-section of commodity prices, including fuel and non-fuel commodities. We decompose each commodity price series into a global (or common) component, block-specific components and a purely idiosyncratic shock. We find that the bulk of the...
Persistent link: https://www.econbiz.de/10011747697