This draft is a summary of the paper entitled: Forecasting Fuel Prices with the Chilean Exchange Rate. In that paper we show that the Chilean exchange rate has the ability to predict the returns of oil prices and of three additional oil-related products: gasoline, propane and heating oil. The...

Noncausal, or anticipative, heavy-tailed processes generate trajectories featuring locally explosive episodes akin to speculative bubbles in financial time series data. For $(X_t)$ a two-sided infinite $\alpha$-stable moving average (MA), conditional moments up to integer order four are shown to...

This paper proposes generalisations of the Realized GARCH model by Hansen et al. (2012), in three different directions. First, heteroskedasticity in the noise term in the measurement equation is allowed, since this is generally assumed to be time-varying as a function of an estimator of the...

In this paper we show that survey-based-expectations about the future evolution of the Chilean exchange rate have the ability to predict the returns of the six primary non-ferrous metals: aluminum, copper, lead, nickel, tin and zinc. Predictability is also found for returns of the London Metal...

This paper investigates one-step ahead density forecasts of mixed causal-noncausal models. We compare the sample-based and the simulations-based approaches respectively developed by Gouriéroux and Jasiak (2016) and Lanne, Luoto, and Saikkonen (2012). We focus on explosive episodes and therefore...

We propose a novel approach to modelling and forecasting high frequency trading volumes. The new model extends the Component Multiplicative Error Model of Brownlees et al. (2011) by introducing a more flexible specification of the long-run component. This uses an additive cascade of MIDAS...

This paper proposes generalisations of the Realized GARCH model by Hansen et al. (2012), in three different directions. First, heteroskedasticity in the noise term in the measurement equation is allowed, since this is generally assumed to be time-varying as a function of an estimator of the...

This paper investigates one-step ahead density forecasts of mixed causal-noncausal models. It analyses and compares two data-driven approaches. The paper focuses on explosive episodes and therefore on predicting turning points of bubbles. Guidance in using these approximation methods are...