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Displaying results 1 to 12 of 12.

  1. Weak identification of long memory with implications for inference
    Author: Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun
    Published: Jun 2022
    Publisher:  Singapore Management University, Singapore

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: SMU economics and statistics working paper series ; paper no. 2022, 08
    Subjects: Realized volatility; Weak identification; Disjoint confidence sets; Trading volume; Long memory
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  2. Forecasting realized volatility in turbulent times using temporal fusion transformers
    Author: Frank, Johannes
    Published: [2023]
    Publisher:  Friedrich-Alexander-Universität Erlangen-Nürnberg, Institute for Economics, [Nürnberg]

    This paper analyzes the performance of temporal fusion transformers in forecasting realized volatilities of stocks listed in the S&P 500 in volatile periods by comparing the predictions with those of state-of-the-art machine learning methods as well... more

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    This paper analyzes the performance of temporal fusion transformers in forecasting realized volatilities of stocks listed in the S&P 500 in volatile periods by comparing the predictions with those of state-of-the-art machine learning methods as well as GARCH models. The models are trained on weekly and monthly data based on three different feature sets using varying training approaches including pooling methods. I find that temporal fusion transformers show very good results in predicting financial volatility and outperform long short-term memory networks and random forests when using pooling methods. The use of sectoral pooling substantially improves the predictive performance of all machine learning approaches used. The results are robust to different ways of training the models.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/268951
    Series: FAU discussion papers in economics ; no. 2023, 03
    Subjects: Realized volatility; temporal fusion transformer; long short-term memory network; random forest
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  3. Financial stress and realized volatility
    the case of agricultural commodities
    Author: Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; Pierdzioch, Christian
    Published: [2023]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Source: Union catalogues
    Language: English
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    Format: Online
    Other identifier:
    hdl: 11159/593807
    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2023, 20 (July 2023)
    Subjects: Realized volatility; Agricultural commodities; Financialization; Realized moments; Predictability
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  4. On the spectral density of fractional Ornstein-Uhlenbeck process
    approximation, estimation, and model comparison
    Author: Shi, Shuping; Yu, Jun; Zhang, Chen
    Published: May 2023
    Publisher:  Singapore Management University, Singapore

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    Series: SMU economics and statistics working paper series ; paper no. 2023, 08
    Subjects: Fractional Brownian motion; fractional Ornstein-Uhlenbeck process; spectral density; Paxson approximation; Whittle likelihood; Realized volatility
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  5. Stock market bubbles and the realized volatility of oil price returns
    Author: Gupta, Rangan; Nielsen, Joshua; Pierdzioch, Christian
    Published: [2023]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Source: Union catalogues
    Language: English
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    Format: Online
    Other identifier:
    hdl: 11159/631998
    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2023, 25 (August 2023)
    Subjects: Realized volatility; Oil price; Stock market bubbles; Forecasting; Shrinkage estimators
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  6. Weak identification of long memory with implications for inference
    Author: Li, Jia; Phillips, Peter C. B.; Shi, Shuping; Yu, Jun
    Published: [2022]
    Publisher:  Cowles Foundation for Research in Economics, Yale University, New Haven, Connecticut

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    Source: Union catalogues
    Language: English
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    Series: Cowles Foundation discussion paper ; no. 2334 (June 2022)
    Subjects: Realized volatility; Weak identification; Disjoint confidence sets; Tradingvolume; Long memory
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  7. Forecast combination puzzle in the HAR model
    Author: Clements, Adam; Vasnev, Andrey L.
    Published: [2021]
    Publisher:  The University of Sydney Business School, [Sydney, NSW, Australia]

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    Source: Union catalogues
    Language: English
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    Format: Online
    Other identifier:
    hdl: 2123/25045
    Series: Business analytics working paper series ; no: BAWP-2021, 01 (May 2021)
    Subjects: Realized volatility; forecast combination; HAR model
    Scope: 1 Online-Ressource (circa 19 Seiten), Illustrationen
  8. Business applications and state-level stock market realized volatility
    a forecasting experiment
    Author: Bonato, Matteo; Ҫepni, Oğuzhan; Gupta, Rangan; Pierdzioch, Christian
    Published: [2022]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Source: Union catalogues
    Language: English
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    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2022, 47 (October 2022)
    Subjects: State-level stock markets; State-level investor sentiment; Business applications; Realized volatility; Forecasting
    Scope: 1 Online-Ressource (circa 22 Seiten), Illustrationen
    Notes:

    Datei wurde von der herausgebenden Institution entfernt
  9. Business applications and state-level stock market realized volatility
    a forecasting experiment
    Author: Bonato, Matteo; Ҫepni, Oğuzhan; Gupta, Rangan; Pierdzioch, Christian
    Published: [2022]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

    Access:
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    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    ZSS 52
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2022, 47 (October 2022)
    Subjects: State-level stock markets; State-level investor sentiment; Business applications; Realized volatility; Forecasting
    Scope: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  10. Stock return predictability and variance risk premia around the ZLB
    Author: Ogawa, Toshiaki; Ubukata, Masato; Watanabe, Toshiaki
    Published: July 2020
    Publisher:  Institute for Monetary and Economic Studies, Bank of Japan, Tokyo, Japan

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    Series: Array ; no. 2020, E-09
    Subjects: Excess returns; Heterogeneous autoregressive model; Nikkei 225; Realized volatility; S&P500; Variance risk premium; Zero lower bound
    Scope: 1 Online-Ressource
  11. Forecasting international REITs volatility
    the role of oil-price uncertainty
    Author: Wang, Jiqian; Gupta, Rangan; Çepni, Oğuzhan; Ma, Feng
    Published: [2021]
    Publisher:  Department of Economics, University of Pretoria, Pretoria, South Africa

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    Source: Union catalogues
    Language: English
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    Other identifier:
    hdl: 11159/7061
    Series: Department of Economics working paper series / Department of Economics, University of Pretoria ; 2021, 73 (October 2021)
    Subjects: REITs; International data; Realized volatility; Oil-Price Uncertainty; Forecasting
    Scope: 1 Online-Ressource (circa 37 Seiten)
  12. Forecasting the variability of stock index returns with the multifractal random walk model for realized volatilities
    Author: Sattarhoff, Cristina; Lux, Thomas
    Published: [2021]
    Publisher:  Christian-Albrechts-Universität zu Kiel, Department of Economics, [Kiel]

    We adapt the multifractal random walk model by Bacry et al. (2001) to realized volatilities (denoted RV-MRW) and take stock of recent theoretical insights on this model in Duchon et al. (2012) to derive forecasts of financial volatility. Moreover, we... more

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    We adapt the multifractal random walk model by Bacry et al. (2001) to realized volatilities (denoted RV-MRW) and take stock of recent theoretical insights on this model in Duchon et al. (2012) to derive forecasts of financial volatility. Moreover, we propose a new extension of the binomial Markov-switching multifractal (BMSM) model by Calvet and Fisher (2001) to the RV framework. We compare the predictive ability of the two against seven classical and multifractal volatility models. Forecasting performance is evaluated out-of-sample based on the empirical MSE and MAE as well as using model confidence sets following the methodology of Hansen et al. (2011). Overall, our empirical study for 14 international stock market indices has a clear message: The RV-MRW is throughout the best model for all forecast horizons under the MAE criterium as well as for large forecast horizons h=50 and 100 days under the MSE criterion. Moreover, the RV-MRW provides most accurate 20-day ahead forecasts in terms of MSE for the great majority of indices, followed by RV-ARFIMA, the latter dominating the competition at the 5-day-horizon. These results are very promising if we consider that this is the first empirical application of the RV-MRW. Moreover, whereas RV-ARFIMA forecasts are often a time consuming task, the RV-MRW stands out due to its fast execution and straightforward implementation. The new RV-BMSM appears to be specialized in short term forecasting, the model providing most accurate one-day ahead forecasts in terms of MSE for the same number of cases as RV-ARFIMA.

     
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    Other identifier:
    hdl: 10419/247272
    Series: Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics ; no 2021, 02
    Subjects: Realized volatility; multiplicative volatility models; multifractal random walk; longmemory; international volatility forecasting
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen