MIDAS Volatility Forecast Performance Under Market Stress: Evidence from Emerging and Developed Stock Markets

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MIDAS Volatility Forecast Performance Under Market Stress: Evidence from Emerging and Developed Stock Markets

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C. Emre Alper
Salih Fendoglu
Burak Saltoglu

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Paper provided by Bogazici University, Department of Economics in its series Working Papers with number 2009/04.

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Date of creation: Apr 2009
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Handle: RePEc:bou:wpaper:2009/04

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This paper has been announced in the following NEP Reports:

NEP-ALL-2009-05-30 (All new papers)
NEP-ETS-2009-05-30 (Econometric Time Series)
NEP-FOR-2009-05-30 (Forecasting)

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Mc Cracken, Michael W., 2000. "Robust out-of-sample inference," Journal of Econometrics, Elsevier, vol. 99(2), pages 195-223, December. [Downloadable!] (restricted)
West, Kenneth D., 2006. "Forecast Evaluation," Handbook of Economic Forecasting, Elsevier. [Downloadable!] (restricted)
McCracken, Michael W., 2004. "Parameter estimation and tests of equal forecast accuracy between non-nested models," International Journal of Forecasting, Elsevier, vol. 20(3), pages 503-514. [Downloadable!] (restricted)
Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003. "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, vol. 71(2), pages 579-625, March. [Downloadable!] (restricted)
Other versions:
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," Center for Financial Institutions Working Papers 01-01, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
- Anderson, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Labys, Paul, 2002. "Modeling and Forecasting Realized Volatility," Working Papers 02-12, Duke University, Department of Economics. [Downloadable!]
Ser-Huang Poon & Clive W. J. Granger, 2003. "Forecasting Volatility in Financial Markets: A Review," Journal of Economic Literature, American Economic Association, vol. 41(2), pages 478-539, June.
Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO. [Downloadable!]
West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-84, September. [Downloadable!] (restricted)
Other versions:
- Kenneth D. West, 1994. "Asymptotic Inference About Predictive Ability," Macroeconomics 9410002, EconWPA. [Downloadable!]
Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
Eric Ghysels & Alberto Plazzi & Rossen Valkanov, 2007. "Valuation in US Commercial Real Estate," European Financial Management, Blackwell Publishing Ltd, vol. 13(3), pages 472-497. [Downloadable!] (restricted)
Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
Other versions:
- Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
- Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.

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This page was last updated on 2009-11-22.

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