Name
Title | ||
|---|---|---|
Forecasting correlations during the late-2000s financial crisis: The short-run component, the long-run component, and structural breaks |
Abstract | ||
|---|---|---|
The predictive power of recently introduced components affecting correlations is investigated. The focus is on models allowing for a flexible specification of the short-run component of correlations as well as the long-run component. Moreover, models allowing the correlation dynamics to be subjected to regime-shift caused by threshold-based structural breaks of a different nature are also considered. The results indicate that in some cases there may be a superimposition of the long-term and short-term movements in correlations. Therefore, care is called for in interpretations when estimating the two components. Testing the forecasting accuracy of correlations during the late-2000s financial crisis yields mixed results. In general, component models allowing for a richer correlation specification possess an increased predictive accuracy. Economically speaking, no relevant gains are found by allowing for more flexibility in the correlation dynamics. |
Year | DOI | Venue |
|---|---|---|
2014 | 10.1016/j.csda.2013.06.002 | Computational Statistics & Data Analysis |
Keywords | Field | DocType |
correlation forecasting,mixed data sampling,threshold regime-switching models,component models,performance evaluation,component model,structural break | Econometrics,Superimposition,Mixed-data sampling,Predictive power,Financial crisis,Correlation,Statistics,Mathematics | Journal |
Volume | ISSN | Citations |
76, | 0167-9473 | 2 |
PageRank | References | Authors |
0.39 | 9 | 1 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Francesco Audrino | 1 | 14 | 3.36 |