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Combination of multivariate volatility forecasts

Amendola, Alessandra; Storti, Giuseppe - 2009

volatility predictor, the results of an application to tactical asset allocation are presented. …

Persistent link: https://www.econbiz.de/10010263760

FloGARCH: Realizing long memory and asymmetries in returns volatility

Vander Elst, Harry - 2015

We introduce the class of FloGARCH models in this paper. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the...

Persistent link: https://www.econbiz.de/10011506800

Censored Posterior and Predictive Likelihood in Bayesian Left-Tail Prediction for Accurate Value at Risk Estimation

Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - 2013

Accurate prediction of risk measures such as Value at Risk (VaR) and Expected Shortfall (ES) requires precise estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part of the predictive density: the censored posterior, a...

Persistent link: https://www.econbiz.de/10010326148

Testing directional forecast value in the presence of serial correlation

Blaskowitz, Oliver J.; Herwartz, Helmut - 2008

Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....

Persistent link: https://www.econbiz.de/10010271838

Local adaptive multiplicative error models for high-frequency forecasts

Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2012

We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....

Persistent link: https://www.econbiz.de/10010330969

GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies

Jimenez-Martin, Juan-Angel; McAleer, Michael; Amaral, … - 2013

In this paper we provide further evidence on the suitability of the median of the point VaR forecasts of a set of models as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the sample period for comparison. These extreme value models...

Persistent link: https://www.econbiz.de/10010326321

Meteorological forecasts and the pricing of weather derivatives

Ritter, Matthias; Mußhoff, Oliver; Odening, Martin - 2010

In usual pricing approaches for weather derivatives, forward-looking information such as meteorological weather forecasts is not considered. Thus, important knowledge used by market participants is ignored in theory. By extending a standard model for the daily temperature, this paper allows the...

Persistent link: https://www.econbiz.de/10010281477

Global financial crisis and the puzzling exchange rate path in CEE countries

Crespo Cuaresma, Jesús; Geršl, Adam; Slačík, Tomáš - 2010

In the present paper we examine whether financial markets could have helped predict exchange rates in three selected Central and Eastern European (CEE) economies of the EU, namely the Czech Republic, Hungary and Poland, during the current financial crisis. To this end, we derive risk-neutral...

Persistent link: https://www.econbiz.de/10010322178

Forecasting the Volatility of Nikkei 225 Futures

Asai, Manabu; McAleer, Michael - 2017

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset …

Persistent link: https://www.econbiz.de/10011662515

YOLO trading: Riding with the herd during the GameStop episode

Lyócsa, Štefan; Baumöhl, Eduard; Vŷrost, Tomáš - 2021

We explore the 2020 and early 2021 price variation of four stocks: GameStop, AMC Entertainment Holdings, Blackberry and Nokia. The four stocks were subject to a decentralized short squeeze that exploited the short positions of institutional investors. This investor movement was likely initiated...

Persistent link: https://www.econbiz.de/10012432747