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Realizing stock market crashes: Stochastic cusp catastrophe model of returns under the time-varying volatility

Baruník, Jozef; Kukačka, Jiří - 2013

the period stock markets showed marks of bifurcations, in the second half catastrophe theory was not able to confirm this …This paper develops a two-step estimation methodology, which allows us to apply catastrophe theory to stock market … returns with time-varying volatility and model stock market crashes. Utilizing high frequency data, we estimate the daily …

Persistent link: https://www.econbiz.de/10010420223

Now-casting and the real-time data flow

Bańbura, Marta; Giannone, Domenico; Modugno, Michele; … - 2013

The term now-casting is a contraction for now and forecasting and has been used for a long-time in meteorology and recently also in economics. In this paper we survey recent developments in economic now-casting with special focus on those models that formalize key features of how market...

Persistent link: https://www.econbiz.de/10011605609

Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity

Martens, Martin; van Dijk, Dick; de Pooter, Michiel - 2004

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

Persistent link: https://www.econbiz.de/10010325218

Handbook of ifo Surveys

Sauer, Stefan (contributor); Schasching, Moritz (contributor) - 2023

As one of the main pillars of the ifo Institute's economic research, the ifo Business Survey has been conducted monthly since 1949, a year after the foundation of the ifo Institute. Since then, ifo has extended its survey activity by developing and administering additional business, expert, and...

Persistent link: https://www.econbiz.de/10014329720

Previsão de inflação: análise preliminar de desempenho de técnicas de machine learning

Santos, Francisco; Nolau, Izabel - 2022

In this Discussion Paper, we test forecasting models for inflation and economic activity with macroeconomic data and economic surveys between January 2002 and October 2019 on a monthly basis. Due to the high dimension nature of the set of explanatory variables, we use machine learning (ML)...

Persistent link: https://www.econbiz.de/10014486096

Profit uplift modeling for direct marketing campaigns: approaches and applications for online shops

Baier, Daniel; Stöcker, Björn - In: Journal of Business Economics 92 (2021) 4, pp. 645-673

In order to select "best" customers for a direct marketing campaign, response models are widespread: a sample of customers receives an ad, a catalog, a sample pack, or a discount offer on a test basis. Then, their responses (e.g., website visits, conversions, or revenues) are used to build a...

Persistent link: https://www.econbiz.de/10014501307

A recent review on optimisation methods applied to credit scoring models

Kamimura, Elias Shohei; Pinto, Anderson Rogério Faia; … - In: Journal of Economics, Finance and Administrative Science 28 (2023) 56, pp. 352-371

Purpose - This paper aims to present a literature review of the most recent optimisation methods applied to Credit Scoring Models (CSMs). Design/methodology/approach The research methodology employed technical procedures based on bibliographic and exploratory analyses. A traditional...

Persistent link: https://www.econbiz.de/10014516349

Calculating effective degrees of freedom for forecast combinations and ensemble models

Younker, James - 2022

Forecast combinations, also known as ensemble models, routinely require practitioners to select a model from a massive number of potential candidates. Ten explanatory variables can be grouped into 21078 forecast combinations, and the number of possibilities increases further to 21078+21078 if we...

Persistent link: https://www.econbiz.de/10014541795

Messung des Marktrisikos mit generalisierter autoregressiver bedingter heteroskedastischer Modellierung der Volatilität: Ein Vergleich univariater und multivariater Konzepte

Krasnosselski, Nikolai; Cremers, Heinz; Sanddorf, Walter - 2014

estimation of the volatility in the market plays a key role in quantifying market risk exposure correctly. This paper presents … GARCH models which capture volatility clustering and, therefore, are appropriate to analyse financial market data. Models … time-varying volatility. In this paper, the estimation of conditional volatility is applied to Value at Risk measurement …

Persistent link: https://www.econbiz.de/10010331352

Bridging the gap between horizontal and vertical merger simulation: Modifications and extensions of PCAID

Bush, C. Anthony - 2014

A general theoretical and empirical framework is developed for assessing the potential of a vertically integrated firm to foreclose downstream competitors. Using this framework a policymaker may also evaluate the empirical welfare effects from a vertically integrated firm raising rivals' costs....

Persistent link: https://www.econbiz.de/10010397045