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Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raaij, Gabriela de; Raunig, Burkhard - 2002

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Persistent link: https://www.econbiz.de/10001657476

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

Persistent link: https://www.econbiz.de/10011431370

The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

Persistent link: https://www.econbiz.de/10003821063

Comparing and evaluating Bayesian predictive distributions of assets returns

Geweke, John; Amisano, Gianni - 2008

Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...

Persistent link: https://www.econbiz.de/10003825870

US interest rates : are relations stable?

Karlsson, Sune; Kiss, Tamás; Nguyen, Hoang; … - 2024

estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury …

Persistent link: https://www.econbiz.de/10014490330

Discrete-time stochastic volatility models and MCMC-based statistical inference

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …

Persistent link: https://www.econbiz.de/10003770817

The impact of news on higher moments

Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006

domestic volatility after good shocks but a bad hedge after crashes …

Persistent link: https://www.econbiz.de/10003394353

Forecasting US inflation using Markov dimension switching

Prüser, Jan - 2017

This study considers Bayesian variable selection in the Phillips curve context by using the Bernoulli approach of Korobilis (2013a). The Bernoulli model, however, is unable to account for model change over time, which is important if the set of relevant predictors changes over time. To tackle...

Persistent link: https://www.econbiz.de/10011720713

Modeling Volatility Spillovers between the Variabilities of US Inflation and Output : The UECCC GARCH Model

Conrad, Christian - 2008

This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad and Karanasos (2008) to examine the intertemporal relationship between the uncertainties of inflation and output growth in the US. We find that inflation uncertainty effects...

Persistent link: https://www.econbiz.de/10012723007

A Statistical Arbitrage FX Trading System Based on Short Term FX Volatility Swings Forecasting with Institutional Data on JPY Based Investment Flows Into US Markets

Gadiraju, Pavan - 2009

-day moving standard deviation swings in the JPYUSD FX pair. Finally, I propose two models to exploit the volatility swing … forecasting system; The first model involving volatility trades for the FX pair that could exploit an expected upswing in the … short term volatility of the FX pair, and the second model involving an overlay of the swing forecasting system over …

Persistent link: https://www.econbiz.de/10013157904