Similar Search Results

Summary of the Paper Entitled: Forecasting Fuel Prices with the Chilean Exchange Rate

Pincheira, Pablo; Jarsun, Nabil - 2020

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...

Persistent link: https://www.econbiz.de/10015229382

Can we beat the Random Walk? The case of survey-based exchange rate forecasts in Chile

Pincheira, Pablo; Neumann, Federico - 2018

We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...

Persistent link: https://www.econbiz.de/10015262273

Forecasting oil prices with penalized regressions, variance risk premia and Google data

Fantazzini, Dean; Kurbatskii, Alexey; Mironenkov, Alexey; … - 2022

includes several episodes of high volatility in the oil market. Our evidence shows that penalized regressions provided the best …

Persistent link: https://www.econbiz.de/10015270524

The Mean Squared Prediction Error Paradox

Pincheira, Pablo; Hardy, Nicolas - 2021

In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the...

Persistent link: https://www.econbiz.de/10015241474

Forecasting Base Metal Prices with an International Stock Index

Pincheira, Pablo; Hardy, Nicolas; Bentancor, Andrea; … - 2021

In this paper we show that the MSCI ACWI Metals and Mining Index has the ability to predict base metal prices. We use both in-sample and out-of-sample exercises to conduct such examination. The theoretical underpinning of these results relies on the present-value model for stock-price...

Persistent link: https://www.econbiz.de/10015243686

Adaptive Conformal Inference for computing Market Risk Measures: an Analysis with Four Thousands Crypto-Assets

Fantazzini, Dean - 2024

and daily range models. Despite the substantial volatility observed in the majority of crypto-assets, our findings …

Persistent link: https://www.econbiz.de/10015213597

An Infinite Hidden Markov Model with GARCH for Short-Term Interest Rates

Li, Chenxing; Yang, Qiao - 2025

Markov model with the volatility persistence captured by the GARCH framework, to effectively model and forecast short … in volatility, thereby enhancing the accuracy of density forecasts compared to existing benchmark models. Out …-of-sample evaluations demonstrate the superior performance of our model in density forecasts and in capturing volatility dynamics due to its …

Persistent link: https://www.econbiz.de/10015214745

Modeling and Forecasting the Probability of Crypto-Exchange Closures: A Forecast Combination Approach

Magomedov, Said; Fantazzini, Dean - 2025

The popularity of cryptocurrency exchanges has surged in recent years, accompanied by the proliferation of new digital platforms and tokens. However, the issue of credit risk and the reliability of crypto exchanges remain critical, highlighting the need for indicators to assess the safety of...

Persistent link: https://www.econbiz.de/10015214856

Discussing copulas with Sergey Aivazian: a memoir

Fantazzini, Dean - 2020

Sergey Aivazian was the head of my department at the Moscow School of Economics, but he was much more than that. He played an important role in my life, and he contributed to my studies devoted to copula modelling. This small memoir reports how this amazingly polite and smart scientist helped me...

Persistent link: https://www.econbiz.de/10015215098

A Hybrid Approach for Forecasting of Oil Prices Volatility

Komijani, Akbar; Naderi, Esmaeil; Gandali Alikhani, Nadiya - 2013

This study aims to introduce an ideal model for forecasting crude oil price volatility. For this purpose, the … test verified that both the rate of return and volatility series of crude oil price have the long memory property. Besides …

Persistent link: https://www.econbiz.de/10015235868