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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/19749Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.creator | Döpke, Jörg | - |
| dc.creator | Hartmann, Daniel | - |
| dc.creator | Pierdzioch, Christian | - |
| dc.date | 2005 | - |
| dc.date.accessioned | 2013-10-16T07:06:37Z | - |
| dc.date.available | 2013-10-16T07:06:37Z | - |
| dc.date.issued | 2013-10-16 | - |
| dc.identifier | http://hdl.handle.net/10419/19749 | - |
| dc.identifier | ppn:511473419 | - |
| dc.identifier | RePEc:zbw:bubdp2:4357 | - |
| dc.identifier.uri | http://koha.mediu.edu.my:8181/xmlui/handle/10419/19749 | - |
| dc.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. | - |
| dc.language | eng | - |
| dc.relation | Discussion Paper, Series 2: Banking and Financial Supervision 2006,01 | - |
| dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | - |
| dc.subject | G11 | - |
| dc.subject | E44 | - |
| dc.subject | C53 | - |
| dc.subject | ddc:330 | - |
| dc.subject | Forecasting stock market volatility | - |
| dc.subject | Real-time macroeconomic data | - |
| dc.subject | Evaluation of forecasting accuracy | - |
| dc.subject | Börsenkurs | - |
| dc.subject | Volatilität | - |
| dc.subject | Prognoseverfahren | - |
| dc.subject | Aktienmarkt | - |
| dc.subject | Konjunktur | - |
| dc.subject | Makroökonomischer Einfluß | - |
| dc.subject | Schätzung | - |
| dc.subject | Deutschland | - |
| dc.title | Forecasting stock market volatility with macroeconomic variables in real time | - |
| dc.type | doc-type:workingPaper | - |
| Appears in Collections: | EconStor | |
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