39 datasets found

We investigate the empirical relevance of structural breaks for GARCH models of exchange rate volatility using both in-sample and out-of-sample tests. We find significant...

We use counterfactual experiments to investigate the sources of the large volatility reduction in US real GDP growth in the 1980s. Contrary to an existing literature that...

This paper assesses the robustness of the relative performance of spot? and options-based volatility forecasts to the treatment of microstructure noise. Robustness of the...

We investigate whether return volatility is predictable by macroeconomic and financial variables to shed light on the economic drivers of financial volatility. Our approach is...

The aim of this paper is to assess whether modeling structural change can help improving the accuracy of macroeconomic forecasts. We conduct a simulated real-time out-of-sample...

We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic conditional...

There has been a systematic increase in the volatility of the real price of crude oil since 1986, followed by a decline in the volatility of oil production since the early...

We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model that incorporates realized measures of variances and covariances. Realized...

Price indices for heterogeneous goods such as real estate or fine art constitute crucial information for institutional or private investors considering alternative investment...

We use frequency domain techniques to estimate a medium-scale dynamic stochastic general equilibrium (DSGE) model on different frequency bands. We show that goodness of fit,...

The run-up in oil prices since 2004 coincided with growing investment in commodity markets and increased price co-movement among different commodities. We assess whether...

This paper studies the impact of the growth and volatility of commodity terms of trade (CToT) on economic growth, total factor productivity, physical capital accumulation and...

We investigate the relationship between long-term US stock market risks and the macroeconomic environment using a two-component GARCH-MIDAS model. Our results show that...

We investigate the effects of fragmentation in equity markets on the quality of trading outcomes in a panel of FTSE stocks over the period 2008-2011. This period coincided with...

This paper discusses estimation of US inflation volatility using time-varying parameter models, in particular whether it should be modelled as a stationary or random walk...

Because the state of the equity market is latent, several methods have been proposed to identify past and current states of the market and forecast future ones. These methods...

We develop a set of statistics to represent the option-implied stochastic discount factor and we apply them to S&P 500 returns between 1990 and 2012. Our statistics, which...

Empirical work in macroeconometrics has been mostly restricted to using vector autoregressions (VARs), even though there are strong theoretical reasons to consider general...

We investigate the added value of combining density forecasts focused on a specific region of support. We develop forecast combination schemes that assign weights to individual...