搜索结果: 1-7 共查到“数量经济学 Forecasting”相关记录7条 . 查询时间(0.021 秒)
Modeling and Forecasting Persistent Financial Durations
price durations long memory multifractal models realized volatility Whittle estimation
2012/9/14
This paper introduces the Markov-Switching Multifractal Duration (MSMD) model by adapting the MSM stochastic volatility model of Calvet and Fisher (2004)
to the duration setting. Although the MSMD pr...
Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework
exponential weighted moving average time -varying higher moments Cornish-Fisher expansion Gram -Charlier density risk management Value-at -Risk
2012/9/14
This paper provides an insight to the time-varying dynamics of the shape of the distribution of financial return series by proposing an exponential weighted moving average model that joint...
Bayesian logistic betting strategy against probability forecasting
exponential family game-theoretic probability Japan Meteorological Agency probability of precipitation strong law of large numbers
2012/4/28
We propose a betting strategy based on Bayesian logistic regression modeling for the probability forecasting game in the framework of game-theoretic probability by Shafer and Vovk (2001). We prove som...
Realized Wavelet Jump-GARCH model: Can wavelet decomposition of volatility improve its forecasting?
wavelet decomposition jumps volatility forecasting Realized GARCH
2012/4/28
In this paper, we propose a forecasting model for volatility based on its decomposition to several investment horizons and jumps. As a forecasting tool, we utilize Realized GARCH framework of Hansen e...
Spin model with negative absolute temperatures for stock market forecasting
Spin model temperatures stock market
2012/9/14
A spin model relating physical to financial variables is presented. Based on this model, an algo-rithm evaluating negative temperatures was applied to New York Stock Exchange quotations from May 2005 ...
A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
Multistep forecasts Var forecasts Forecast comparisons
2014/3/18
‘‘Iterated’’ multiperiod-ahead time series forecasts are made using a one-period ahead model, iterated forward for the desired number of periods, whereas ‘‘direct’’ forecasts are made using a horizon-...
Forecasting Using Principal Components From a Large Number of Predictors
Factor models Forecasting Principal components
2014/3/18
This article considers forecasting a single time series when there are many predictors (N) and time series observations (T). When the data follow an approximate factor model, the predictors can be sum...