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Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - In: Energy economics 56 (2016), pp. 117-133
Persistent link: https://www.econbiz.de/10011663878
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Forecasting the US real house price index
Plakandaras, Vasilios; Gupta, Rangan; Gkonkas, Periklēs; … - In: Economic modelling 45 (2015), pp. 259-267
Persistent link: https://www.econbiz.de/10011334082
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The informational content of the term spread in forecasting the US inflation rate : a nonlinear approach
Plakandaras, Vasilios; Gkonkas, Periklēs; … - In: Journal of forecasting 36 (2017) 2, pp. 109-121
Persistent link: https://www.econbiz.de/10011729092
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Forecasting the U.S. Real House Price Index
Plakandaras, Vasilios; Gupta, Rangan; Gogas, Periklis; … - Department of Economics, Faculty of Economic and … - 2014
The 2006 sudden and immense downturn in U.S. House Prices sparked the 2007 global financial crisis and revived the interest about forecasting such imminent threats for economic stability. In this paper we propose a novel hybrid forecasting methodology that combines the Ensemble Empirical Mode...
Persistent link: https://www.econbiz.de/10010942822
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Forecasting the U.S. Real House Price Index
Plakandaras, Vasilios; Gupta, Rangan; Papadimitriou, … - Department of Economics, Democritus University of Thrace - 2014
The 2006 sudden and immense downturn in U.S. House Prices sparked the 2007 global financial crisis and revived the interest about forecasting such imminent threats for economic stability. In this paper we propose a novel hybrid forecasting methodology that combines the Ensemble Empirical Mode...
Persistent link: https://www.econbiz.de/10010840485
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Forecasting the U.S. real house price index
Plakandaras, Vasilios; Gupta, Rangan; Gogas, Periklis; … - In: Economic Modelling 45 (2015) C, pp. 259-267
The 2006 sudden and immense downturn in U.S. house prices sparked the 2007 global financial crisis and revived the interest about forecasting such imminent threats for economic stability. In this paper we propose a novel hybrid forecasting methodology that combines the Ensemble Empirical Mode...
Persistent link: https://www.econbiz.de/10011190220
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Forecasting the U.S. Real House Price Index
Plakandaras, Vasilios; Gupta, Rangan; Gogas, Periklis; … - Institut de Préparation à l'Administration et à la … - 2014
The 2006 sudden and immense downturn in U.S. House Prices sparked the 2007 global financial crisis and revived the interest about forecasting such imminent threats for economic stability. In this paper we propose a novel hybrid forecasting methodology that combines the Ensemble Empirical Mode...
Persistent link: https://www.econbiz.de/10010891125
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Modeling and Forecasting Carbon Dioxide Emission Allowance Spot Price Volatility: Multifractal vs. GARCH-type Volatility Models
Segnon, Mawuli; Lux, Thomas; Gupta, Rangan - 2015
price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …
Persistent link: https://www.econbiz.de/10011306665
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Modeling and forecasting crude oil price volatility: Evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - 2015
heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … outperformed by other models, with long memory GARCH-type models coming out second best. …
Persistent link: https://www.econbiz.de/10010491278
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Modeling and forecasting crude oil price volatility : evidence from historical and recent data
Lux, Thomas; Segnon, Mawuli; Gupta, Rangan - 2015
heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … outperformed by other models, with long memory GARCH-type models coming out second best. …
Persistent link: https://www.econbiz.de/10010488966