IDEAS home Printed from https://ideas.repec.org/a/eee/intfor/v21y2005i2p249-260.html
   My bibliography  Save this article

Content horizons for conditional variance forecasts

Author

Listed:
  • Galbraith, John W.
  • KI[#x1e63]Inbay, Turgut

Abstract

No abstract is available for this item.

Suggested Citation

  • Galbraith, John W. & KI[#x1e63]Inbay, Turgut, 2005. "Content horizons for conditional variance forecasts," International Journal of Forecasting, Elsevier, vol. 21(2), pages 249-260.
  • Handle: RePEc:eee:intfor:v:21:y:2005:i:2:p:249-260
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0169-2070(04)00080-9
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Andersen T. G & Bollerslev T. & Diebold F. X & Labys P., 2001. "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 42-55, March.
    2. Ole E. Barndorff-Nielsen & Neil Shephard, 2002. "Estimating quadratic variation using realized variance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 457-477.
    3. Raffaella Giacomini & Halbert White, 2006. "Tests of Conditional Predictive Ability," Econometrica, Econometric Society, pages 1545-1578.
    4. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2003. "Modeling and Forecasting Realized Volatility," Econometrica, Econometric Society, pages 579-625.
    5. Clark, Todd E. & McCracken, Michael W., 2001. "Tests of equal forecast accuracy and encompassing for nested models," Journal of Econometrics, Elsevier, pages 85-110.
    6. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, pages 3-30.
    7. Peter F. Christoffersen & Francis X. Diebold, 1997. "How Relevant is Volatility Forecasting for Financial Risk Management?," Center for Financial Institutions Working Papers 97-45, Wharton School Center for Financial Institutions, University of Pennsylvania.
    8. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, pages 307-327.
    9. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    10. Jonathan H. Wright & Tim Bollerslev, 1999. "High frequency data, frequency domain inference and volatility forecasting," International Finance Discussion Papers 649, Board of Governors of the Federal Reserve System (U.S.).
    11. Peter F. Christoffersen & Francis X. Diebold, 2000. "How Relevant is Volatility Forecasting for Financial Risk Management?," The Review of Economics and Statistics, MIT Press, pages 12-22.
    12. Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December.
    13. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, pages 115-158.
    14. Andersen, Torben G & Bollerslev, Tim, 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 885-905, November.
    15. Bollerslev, Tim & Domowitz, Ian, 1993. " Trading Patterns and Prices in the Interbank Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 48(4), pages 1421-1443, September.
    16. Dacorogna, Michael M. & Muller, Ulrich A. & Nagler, Robert J. & Olsen, Richard B. & Pictet, Olivier V., 1993. "A geographical model for the daily and weekly seasonal volatility in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 12(4), pages 413-438, August.
    17. Tim Bollerslev & Jonathan H. Wright, 2001. "High-Frequency Data, Frequency Domain Inference, And Volatility Forecasting," The Review of Economics and Statistics, MIT Press, pages 596-602.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Vasilios Plakandaras & Theophilos Papadimitriou & Periklis Gogas, 2015. "Forecasting Daily and Monthly Exchange Rates with Machine Learning Techniques," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(7), pages 560-573, November.
    2. Georgios Tsiotas, 2009. "On the use of non-linear transformations in Stochastic Volatility models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, pages 555-583.
    3. Dovern, Jonas, 2006. "Predicting GDP components: do leading indicators increase predictability?," Kiel Advanced Studies Working Papers 436, Kiel Institute for the World Economy (IfW).
    4. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    5. Jim Engle-Warnick & Sonia Laszlo, 2017. "Learning-by-doing in an ambiguous environment," Journal of Risk and Uncertainty, Springer, vol. 55(1), pages 71-94, August.
    6. Tsiotas, Georgios, 2012. "On generalised asymmetric stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, pages 151-172.
    7. Taylor, Nicholas, 2008. "Can idiosyncratic volatility help forecast stock market volatility?," International Journal of Forecasting, Elsevier, vol. 24(3), pages 462-479.
    8. Raunig, Burkhard, 2008. "The predictability of exchange rate volatility," Economics Letters, Elsevier, vol. 98(2), pages 220-228, February.
    9. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
    10. John G. Galbraith & Greg Tkacz, 2006. "How Far Can We Forecast? Forecast Content Horizons For Some Important Macroeconomic Time Series," Departmental Working Papers 2006-13, McGill University, Department of Economics.
    11. John W. Galbraith & Greg Tkacz, 2007. "Forecast content and content horizons for some important macroeconomic time series," Canadian Journal of Economics, Canadian Economics Association, vol. 40(3), pages 935-953, August.
    12. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:intfor:v:21:y:2005:i:2:p:249-260. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/ijforecast .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.