Results 151 to 160 of about 303,645 (305)

Composite GDP nowcasting using macroeconomic variables and electricity data. [PDF]

PLoS One
Lan Z, Liu Z, Wu G.
europepmc   +1 more source

Exchange Rate Volatility and Macroeconomic Performance in Hong Kong. [PDF]

In this paper evidence on whether Hong Kong's currency board arrangement, in place since 1983, has affected volatility of real macroeconomic variables is presented.
Crosby, M.
core  

When Are Statistical Forecast Gains Economically Relevant? Evidence From Bitcoin Returns

Journal of Forecasting, EarlyView.
ABSTRACT We study how statistical forecast gains for Bitcoin translate into trading profits. Using real‐time out‐of‐sample forecasts from daily bivariate VARs from October 2021 to February 2024, we show that Bitcoin returns are forecastable and that seven predictive indices yield significant gains in directional accuracy (DA).
Rehan Arain, Stephen Snudden
wiley   +1 more source

Macroeconomic Factors and Pakistani Equity Market [PDF]

This paper analyzes long-term equilibrium relationships between a group of macroeconomic variables and the Karachi Stock Exchange Index. The macroeconomic variables are represented by the industrial production index, the consumer price index, M1, and the
Mohammed Nishat, Rozina Shaheen
core  

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

VARMA versus VAR for Macroeconomic Forecasting [PDF]

In this paper, we argue that there is no compelling reason for restricting the class of multivariate models considered for macroeconomic forecasting to VARs given the recent advances in VARMA modelling methodology and improvements in computing power.
Farshid Vahid, George Athanasopoulos
core  

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

Macroeconomic Variables and Stock Market Indices during the COVID-19 Pandemic: Evidence from USA and Canada

, 2020
Rahman MM, Rahman MM, Abedin MZ.
europepmc   +1 more source

Macroeconomic Volatility under Alternative Exchange Rate Regimes in Turkey [PDF]

After the collapse of fixed exchange rate regime in 1980, alternative regimes were adopted in Turkey. The “crawling peg” regime (1980-81) is followed by “managed float” (1981-99), “crawling peg” (1999-2001) and “free floating” (2001-) in “de jure ...
Duygu Ayhan, Saadet Kasman
core  

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