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Combining density forecasts using focused scoring rules (replication data)
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... -
Efficient estimation of Bayesian VARMAs with time‐varying coefficients (repli...
Empirical work in macroeconometrics has been mostly restricted to using vector autoregressions (VARs), even though there are strong theoretical reasons to consider general... -
State Prices of Conditional Quantiles: New Evidence on Time Variation in the ...
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... -
How to Identify and Forecast Bull and Bear Markets? (replication data)
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... -
Modelling Inflation Volatility (replication data)
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... -
The Effect of Fragmentation in Trading on Market Quality in the UK Equity Mar...
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... -
Anticipating Long-Term Stock Market Volatility (replication data)
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... -
Commodity Price Volatility and the Sources of Growth (replication data)
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... -
Speculation in the Oil Market (replication data)
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... -
DSGE Models in the Frequency Domains (replication data)
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,... -
Volatility of Price Indices for Heterogeneous Goods with Applications to the ...
Price indices for heterogeneous goods such as real estate or fine art constitute crucial information for institutional or private investors considering alternative investment... -
REALIZED BETA GARCH: A MULTIVARIATE GARCH MODEL WITH REALIZED MEASURES OF VOL...
We introduce a multivariate generalized autoregressive conditional heteroskedasticity (GARCH) model that incorporates realized measures of variances and covariances. Realized... -
THE ROLE OF TIME-VARYING PRICE ELASTICITIES IN ACCOUNTING FOR VOLATILITY CHAN...
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... -
MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES (replication data)
We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic conditional... -
Macroeconomic forecasting and structural change (replication data)
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... -
A comprehensive look at financial volatility prediction by economic variables...
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... -
Does the option market produce superior forecasts of noise-corrected volatili...
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... -
Bayesian counterfactual analysis of the sources of the great moderation (repl...
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... -
Structural breaks and GARCH models of exchange rate volatility (replication d...
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... -
Is there a risk–return trade-off? Evidence from high-frequency data (replicat...
This paper examines the intertemporal relation between risk and return for the aggregate stock market using high-frequency data. We use daily realized, GARCH, implied, and...
