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Do high-frequency financial data help forecast oil prices? : the MIDAS touch at work

Baumeister, Christiane; Guérin, Pierre; Kilian, Lutz - 2013

The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets, including the question of whether financial market...

Persistent link: https://www.econbiz.de/10010203447

Risk spillovers in international equity portfolios

Bonato, Matteo; Caporin, Massimiliano; Ranaldo, Angelo - 2012

We define risk spillover as the dependence of a given asset variance on the past covariances and variances of other assets. Building on this idea, we propose the use of a highly flexible and tractable model to forecast the volatility of an international equity portfolio. According to the risk...

Persistent link: https://www.econbiz.de/10010407672

Comfort: a common market factor non-Gaussian returns model

Paolella, Marc S.; Polak, Pawel - 2013

EM-algorithm is developed for estimation. Each element of the vector return at time t is endowed with a common univariate … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …

Persistent link: https://www.econbiz.de/10010256409

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance

Asai, Manabu; McAleer, Michael - 2014

Modelling covariance structures is known to suffer from the curse of dimensionality. In order to avoid this problem for forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures that accommodates asymmetry and long memory....

Persistent link: https://www.econbiz.de/10010259630

Support vector regression based GARCH model with application to forecasting volatility of financial returns

Chen, Shiyi (contributor); Jeong, Kiho (contributor); … - 2008

In recent years support vector regression (SVR), a novel neural network (NN) technique, has been successfully used for financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH method is proposed and is compared with a moving...

Persistent link: https://www.econbiz.de/10003636113

Improving GARCH Volatility Forecasts

Klaassen, Franc - 1999

Many researchers use GARCH models to generate volatility forecasts. We show, however, that such forecasts are too variable. To correct for this, we extend the GARCH model by distinguishing two regimes with different volatility levels. GARCH effects are allowed within each regime, so that our...

Persistent link: https://www.econbiz.de/10014208852

Application of Persistent Homology in Forecasting Realized Volatility

Gobato Souto, Hugo - 2023

This paper proposes a novel algorithm called Persistent Homology for Realized Volatility (PH-RV), which aims to effectively incorporate persistent homology (PH) into neural network models to increase their forecast accuracy in predicting realized volatility (RV). This paper also proposes a novel...

Persistent link: https://www.econbiz.de/10014354048

Forecasting Random Walks Under Drift Instability

Pesaran, M. Hashem - 2011

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

Persistent link: https://www.econbiz.de/10012756639

Forecasting Random Walks under Drift Instability

Pesaran, M. Hashem - 2011

Persistent link: https://www.econbiz.de/10012714199

Estimating and Forecasting Volatility Using Arima Model : A Study on NSE, India

Wadhawan, Dikshita - 2019

forecasting technique with respect to various volatility estimators. The methodology of volatility estimation includes Close …

Persistent link: https://www.econbiz.de/10012860158