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Forecasting exchange rates with commodity prices : a global country analysis

Baumgärtner, Martin; Klose, Jens - 2018

This paper investigates the predictive properties of import and export prices of commodities on the exchange rates. A … period from 1993 to 2016 is considered. We find that forecasts of the exchange rate adding commodity export and import prices …

Persistent link: https://www.econbiz.de/10011822076

Investor Sentiment and Forecasting Ability : Evidence from COT Reports in Precious Metal Futures Markets

Zhang, Yang - 2017

Exploring the information contained in Commodity Futures Trading Commission's (CFTC) Commitments of Traders (COT) reports, this analysis investigates the forecasting ability of investor sentiment index in three major precious metal futures markets, namely, Gold, Silver, and Platinum. A strong...

Persistent link: https://www.econbiz.de/10012973584

'Filtering Noise from Volatility' : Paper 5 in a Series 'Uncovering Hidden Dependencies'

Izmailov, Alexander - 2014

Alexander Izmailov, Ph.D (theoretical physics) and Brian Shay, Ph.D (mathematics), of Market Memory Trading, L.L.C., present in a series of nine (9) white papers, aspects of a revolutionary advance in uncovering hidden dependencies via filtering noise from correlation matrices developed by the...

Persistent link: https://www.econbiz.de/10013062137

Prognosemodelle und Handelsansätze für Implizite Volatilitäten

Sachtler, Michael - 2004

Persistent link: https://www.econbiz.de/10002392690

Forecasting Realized Volatility : Does Anything Beat Linear Models?

Branco, Rafael; Rubesam, Alexandre; Zevallos, Mauricio - 2022

We evaluate the performance of several linear and nonlinear machine learning models in forecasting the realized volatility (RV) of ten global stock market indices in the period from January 2000 to December 2021. We train models using a dataset which includes past values of the RV and additional...

Persistent link: https://www.econbiz.de/10014076641

Forecasting the Term Structure of Variance Swaps

Härdle, Wolfgang - 2017

Recently, Diebold and Li (2003) obtained good forecasting results for yield curves in a reparametrized Nelson-Siegel framework. We analyze similar modeling approaches for price curves of variance swaps that serve nowadays as hedging instruments for options on realized variance.We consider the...

Persistent link: https://www.econbiz.de/10012966237

The Forecast Dispersion Anomaly Revisted : Time-Series Forecast Dispersion and the Cross-Section of Stock Returns

Kim, Dongcheol - 2017

Previous studies use cross-sectional forecast dispersion in examining the relation between forecast dispersion and …-series forecast dispersion is distinct in the relation to stock returns from the negative dispersion-return relation. We find that …-series forecast dispersion and stock returns. We also find that time-series forecast dispersion apparently contains systematic risk …

Persistent link: https://www.econbiz.de/10012972903

A Latent Factor Model for Forecasting Realized Volatilities

Calzolari, Giorgio - 2017

This paper proposes a new method of forecasting realized volatilities by exploiting their common dynamics within a latent factor model. The main idea is to use an additive component structure to describe the long-persistence in their autocorrelation function, where the components, extracted from...

Persistent link: https://www.econbiz.de/10012949841

Up and Down : Forecast Revisions, Forecast Dispersion and Momentum

Liao, Yun - 2017

This paper investigates the relationships among cross-sectional stock returns and analysts' forecast revisions …, forecast dispersion and momentum. Market rewards the strategy in pursuit of revision up and away from revision down by 22 …-2015 periods. Revision up and revision down betas account for most of the momentum strategy and over half of forecast dispersion …

Persistent link: https://www.econbiz.de/10012955959

The One-Trading-Day-Ahead Forecast Errors of Intra-Day Realized Volatility

Degiannakis, Stavros Antonios - 2018

Two volatility forecasting evaluation measures are considered; the squared one-day ahead forecast error and its … standardized version. The mean squared forecast error is the widely accepted evaluation function for the realized volatility … forecasting accuracy. Additionally, we explore the forecasting accuracy based on the squared distance of the forecast error …

Persistent link: https://www.econbiz.de/10012910114