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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19749| Title: | Forecasting stock market volatility with macroeconomic variables in real time |
| Keywords: | G11 E44 C53 ddc:330 Forecasting stock market volatility Real-time macroeconomic data Evaluation of forecasting accuracy Börsenkurs Volatilität Prognoseverfahren Aktienmarkt Konjunktur Makroökonomischer Einfluß Schätzung Deutschland |
| Issue Date: | 16-Oct-2013 |
| Description: | We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We used a statistical, a utility-based, and an options-based criterion to evaluate volatility forecasts. Our main result is that the statistical and economic value of volatility forecasts based on real-time data is comparable to the value of forecasts based on revised macroeconomic data. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19749 |
| Other Identifiers: | http://hdl.handle.net/10419/19749 ppn:511473419 RePEc:zbw:bubdp2:4357 |
| Appears in Collections: | EconStor |
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