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Intra-daily Volume Modeling and Prediction for Algorithmic Trading
Brownlees, Christian T.; Cipollini, Fabrizio; Gallo, … - Dipartimento di Statistica, Informatica, Applicazioni … - 2009
ETFs shows that the proposed methodology is able to significantly outperform common forecasting methods and delivers …
Persistent link: https://www.econbiz.de/10008567867
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Le persone comuni fanno previsioni economiche seguendo logiche econometriche o meccanismi psicologici?
Bovi, Maurizio - Dipartimento del Tesoro, Ministero dell'Economia e …
La psicologia mostra che la probabilità soggettiva associata ad eventi economici futuri viene distorta in modo sistematico, rispetto a quella oggettiva, da elementi psicologici diffusi e persistenti. Lo stesso vale per l'interpretazione retrospettiva dei fatti economici. In particolare, si...
Persistent link: https://www.econbiz.de/10005061461
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Flexible Time Series Forecasting Using Shrinkage Techniques and Focused Selection Criteria
Brownlees, Christian T.; Gallo, Giampiero - Dipartimento di Statistica, Informatica, Applicazioni … - 2007
suboptimal for forecasting purposes. The paper proposes the use of a class of shrinkage estimators that includes the Ridge … estimator for forecasting time series, with a special attention to GARCH and ACD models. The local large sample properties of …-daily financial durations forecasting application. The empirical application shows that an appropriate shrinkage forecasting …
Persistent link: https://www.econbiz.de/10005075728
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A Model for Multivariate Non-negative Valued Processes in Financial Econometrics
Cipollini, Fabrizio; Engle, Robert F.; Gallo, Giampiero M. - Dipartimento di Statistica, Informatica, Applicazioni … - 2007
The Multiplicative Error Model introduced by Engle (2002) for non-negative valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with positive support. In this paper we propose a multivariate extension of such a model, by taking...
Persistent link: https://www.econbiz.de/10005731544
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A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA).
Perez-Amaral, Teodosio; Gallo, Giampiero M.; White, … - Dipartimento di Statistica, Informatica, Applicazioni … - 2003
A new method, called relevant transformation of the inputs network approach (RETINA) is proposed as a tool for model building and selection. It is designed to improve on some of the shortcomings of neural networks. RETINA has the flexibility of neural network models, the concavity of the...
Persistent link: https://www.econbiz.de/10005731545
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Volatility Forecasting Using Explanatory Variables and Focused Selection Criteria
Brownlees, Christian T.; Gallo, Giampiero - Dipartimento di Statistica, Informatica, Applicazioni … - 2007
This paper assesses the performance of volatility forecasting using focused selection and combination strategies to … include relevant explanatory variables in the forecasting model. The focused selection/combination strategies consist of … BIC. The methodology is applied to a daily recursive 1--step ahead value--at--risk (VaR) forecasting exercise of 4 widely …
Persistent link: https://www.econbiz.de/10005731546
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Regime-switching in expectations over the business cycle
Eudey, Gwen; Perli, Roberto - Federal Reserve Bank of Philadelphia - 1999
In this paper the authors argue that a plausible reason why output and other major U.S. macroeconomic time series seem to follow a Markov switching process might be strictly related to expectations. The authors show that a time series of expectations of future output from the Survey of...
Persistent link: https://www.econbiz.de/10005717418
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A Comparison of Complementary Automatic Modeling Methods: RETINA and PcGets.
Perez-Amaral, Teodosio; Gallo, Giampiero M.; White, … - Dipartimento di Statistica, Informatica, Applicazioni … - 2004
predictors of interest), selective search within the range of possible models, control of collinearity, out-of-sample forecasting …
Persistent link: https://www.econbiz.de/10005812867