Results 161 to 170 of about 381,489 (301)

A Fuzzy Framework for Realized Volatility Prediction: Empirical Evidence From Equity Markets

Journal of Forecasting, EarlyView.
ABSTRACT This study introduces a realized volatility fuzzy time series (RV‐FTS) model that applies a fuzzy c‐means clustering algorithm to estimate time‐varying c$$ c $$ latent volatility states and their corresponding membership degrees. These memberships are used to construct a fuzzified volatility estimate as a weighted average of cluster centroids.
Shafqat Iqbal, Štefan Lyócsa
wiley   +1 more source

GDP Modelling with Factor Model: an Impact of Nested Data on Forecasting Accuracy [PDF]

Uncertainty associated with an optimal number of macroeconomic variables to be used in factor model is challenging since there is no criteria which states what kind of data should be used, how many variables to employ and does disaggregated data improve ...
Bessonovs, Andrejs
core   +1 more source

A Comparison of Realized Measures of Integrated Volatility: Price Duration‐ vs. Return‐Based Approaches

Journal of Forecasting, EarlyView.
ABSTRACT We study the accuracy of a variety of parametric price duration‐based realized variance estimators constructed via various financial duration models and compare their forecasting performance with the performance of various nonparametric return‐based realized variance estimators.
Björn Schulte‐Tillmann, Mawuli Segnon, Timo Wiedemann   +2 more
wiley   +1 more source

Machine Learning Approaches to Forecast the Realized Volatility of Crude Oil Prices

Journal of Forecasting, EarlyView.
ABSTRACT This paper presents an evaluation of the accuracy of machine learning (ML) techniques in forecasting the realized volatility of West Texas Intermediate (WTI) crude oil prices. We compare several ML algorithms, including regularization, regression trees, random forests, and neural networks, to several heterogeneous autoregressive (HAR) models ...
Talha Omer, Kristofer Månsson, Pär Sjölander, Gazi Salah Uddin   +3 more
wiley   +1 more source

International Capital Mobility and the Coordination of Monetary Rules [PDF]

The paper develops a two-country model with flexible exchange rates and perfect capital mobility, for evaluating the alternative macroeconomic policy rules.
John B. Taylor, Nicholas Carlozzi
core  

A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios

Journal of Forecasting, EarlyView.
ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley   +1 more source

Empirical analysis of the correlation between China's Macroeconomic Market and Crude Oil Market based on mixed-frequency group factor model. [PDF]

PLoS One
Zhao J, Yin J.
europepmc   +1 more source

A macroeconomic structural model for the Portuguese economy [PDF]

This paper presents a macroeconomic model with some microfoundations for a small open economy. The main purpose is the simulation of external environment and fiscal policy shocks.
Mourinho Félix, Ricardo
core   +1 more source

Forecasting House Prices: The Role of Market Interconnectedness

Journal of Forecasting, EarlyView.
ABSTRACT While the existing research uncovers interconnections between various housing markets, it largely ignores the question of whether such linkages can improve house price predictions. To address this issue, we proceed in two steps. First, we forecast disaggregated house price growth rates from Australia and China to determine whether ...
Zac Chen, George Milunovich, Shuping Shi, Ben Wang   +3 more
wiley   +1 more source

Economic Welfare, Food Prices, and Sectoral Food Waste: A Structural Analysis Across the European Union. [PDF]

Foods
Vărzaru AA.
europepmc   +1 more source