Volatility prediction based on scheduled macroeconomic announcements

DOI10.1002/CJS.11247MaRDI QIDQ5256378zbMATH OpenOpenAlexFDO

Authors Athanassios Petralias, Petros Dellaportas

Publication date 22 June 2015

Published in The Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cjs.11247

zbMATH Keywords

Bayesian methodsexchange ratesGARCH modelsmodel selectionnonlinear time seriesnonparametric methodspopulation Markov chain Monte Carloreversible jumpthresholdsvolatility forecasting

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A comment on D. V. Lindley's statistical paradox
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• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Flexible Threshold Models for Modelling Interest Rate Volatility
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• Optimal prediction pools
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• The Multiple-Try Method and Local Optimization in Metropolis Sampling
• The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report
• Volatility forecast comparison using imperfect volatility proxies

Cited in

(6)

• On classifying the effects of policy announcements on volatility
• Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin
• The effect of macroeconomic information announcement on stock market return and volatility
• Scheduled macroeconomic news announcements and forex volatility forecasting
• Macroeconomic fundamentals, jump dynamics and expected volatility
• Markovian analysis of U.S. treasury volatility: asymmetric responses to macroeconomic announcements

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