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Empirische Wirtschaftsforschung

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Professur für Empirische Wirtschaftsforschung

Aktuell:


Juni 2021

  • Christian Conrad präsentierte den Artikel "Modelling Volatility Cycles: The (MF)^2 GARCH Model" (gemeinsam mit Robert Engle, Stern School of Business) beim North American Summer Meeting der Econometric Society (10. Juni), auf der 13th Annual Conference der Society for Financial Econometrics (15. Juni), der 11th European Central Bank Conference on Forecasting Techniques (16. Juni) und der Annual Conference der International Association for Applied Econometrics (25. Juni).

April 2021

  • Neues Arbeitspapier: Conrad, C., Enders, Z., and A. Glas (2021). "The Role of Information and Experience for Households' Inflation Expectations." Deutsche Bundesbank, Discussion Paper No 07/2021.
  • Neues Arbeitspapier: Conrad, C., and R. F. Engle (2021). "Modelling Volatility Cycles: The (MF)^2 GARCH Model." Rimini Centre for Economic Analysis, Working Paper Series, wp 21-05.
    Christian Conrad and Rob Engle suggest a new multiplicative volatility model which exploits the empirical fact that the daily standardized forecast errors of one-component GARCH models behave counter-cyclical when averaged at a lower frequency. The new volatility model (MF2-GARCH) has been implemented in the Volatility Lab (V-Lab, https://vlab.stern.nyu.edu/) at New York University Stern School of Business. V-Lab provides real time measurement, modeling and forecasting of financial volatility and correlations for a wide spectrum of assets. The MF2-GARCH is estimated for more than 10.000 assets and volatility forecasts for up to one-year-ahead are computed on a daily basis. For example, for S&P 500 volatility forecasts see: https://vlab.stern.nyu.edu/analysis/VOL.SPX%3AIND-R.MF2-GARCH

 

 

 

 

 

 

 

 

 

 

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Letzte Änderung: 05.07.2021
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