Results 281 to 290 of about 429,127 (323)
Journal of Forecasting, EarlyView.ABSTRACT Using overnight volatility as the proxy for overnight information, this paper models future Chinese stock market realized range–based volatility (RRV) within a class of heterogeneous autoregressive models augmented by this proxy. We confirm the important role of overnight information in volatility forecasting models with strong evidence from ...
Yi Zhang, Long Zhou, Zhidong Liu
wiley +1 more source
Food-Away-from-Home Expenditure in Mexico during the COVID-19 Pandemic: A Micro-Econometric Analysis
, 2021 Aguilar-Lopez A, Kuhar A.
europepmc +1 more source
Augmenting Neural Networks With Time‐Varying Weights
Journal of Forecasting, EarlyView.ABSTRACT In the macroeconomic forecasting community, there is increasing interest in machine learning methods that can extract nonlinear predictive content from large datasets with a high number of predictors. Meanwhile, time‐varying parameter (TVP) models are known to flexibly model time series by allowing regression coefficients to vary over time ...
William Rudd +2 more
wiley +1 more source
Journal of Forecasting, EarlyView.ABSTRACT In this paper, we study models for stochastic seasonality and compare the well‐known SARIMA models to Seasonal Autoregressive Unit Root Moving Average (SARUMA) models. SARUMA models assume that the polynomial of the stationarizing differencing operator has roots on the unit circle at some seasonal frequencies, while SARIMA models impose roots ...
Evangelos E. Ioannidis +1 more
wiley +1 more source
Shock‐Triggered Asymmetric Response Stochastic Volatility
Journal of Forecasting, EarlyView.ABSTRACT We propose a novel asymmetric stochastic volatility model (STAR‐SV) in which the leverage parameter adjusts to the magnitude of past shocks. This flexible specification captures both the leverage effects and their propagation more effectively than standard asymmetric volatility models.
J. Miguel Marin, Helena Veiga
wiley +1 more source
Forecasting and Modeling Macroeconomic Vulnerabilities in CESEE
Journal of Forecasting, EarlyView.ABSTRACT This paper develops a nonparametric multivariate model for assessing risks to macroecononomic outcomes in three major CESEE countries. Our model builds on Bayesian additive regression trees (BART) that remains agnostic on the relationship between the macro series and the lags thereof.
Florian Huber, Josef Schreiner
wiley +1 more source
What Works to Control COVID-19? Econometric Analysis of a Cross-Country Panel
, 2021 Chen L +4 more
europepmc +1 more source
Journal of Forecasting, EarlyView.ABSTRACT Sales promotions pose challenges to retail operations by causing sudden fluctuations in demand, not only during the promotional period but also across the entire sales promotional life cycle. Previous research has predominantly focused on promotional and nonpromotional periods, often overlooking the postpromotional phase, where demand ...
Harsha Chamara Hewage +2 more
wiley +1 more source