Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 6 of 6 for “"density forecasting"”.
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Essays on financial econometrics : cojump detection and density forecasting
… jumps for ten foreign exchange rates. We compare density forecasts for the prices of Dow Jones 30 stocks, obtained from 5-minute high-frequency returns and daily option prices for four horizons ranging from one day, one week, two weeks to one month. We use the Heston model which incorporates …
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Essays on the applications of distributional scaling in finance: Estimation, forecasting and inference
… spanning the key problems of estimation, forecasting and inference. In Chapter 2 a new method is proposed for producing density forecasts for daily financial returns from high-frequency intraday data, under the assumption that the return process possesses distributional scaling properties …
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Essays on Bayesian Macroeconometrics
… to aid in model-based multivariate bond yield density forecasting. To do so, we develop a general estimation approach to incorporate volatility proxy information into dynamic factor models with stochastic volatility. We study the density prediction performance on U.S. bond yields of including …
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Essays on commodity price variability
… The second paper investigates short-term price density forecasting procedures in the Lean Hog Futures Market. High price variability in agricultural commodities increases the importance of accurate forecasts. Density forecasts estimate the future probability distribution of a random variable, …
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Essays in Financial Economics and Econometrics
… settings such as tail risk estimation and density forecasting, as well as to causal inference when the objective is to estimate the distributional effects of interventions. It is used here to quantify the heterogeneous wage effects of a major environmental disaster. The first chapter (joint …
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Quantile Forecasting of Commodity Futures' Returns: Are Implied Volatility Factors Informative?
… develops a multi-period log-return quantile forecasting procedure to evaluate the performance of eleven nearby commodity futures contracts (NCFC) using a sample of 897 daily price observations and at-the-money (ATM) put and call implied volatilities of the corresponding prices for the period …