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Empirical Economics

 

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April 2021

  • New working paper: 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.
  • New working paper: 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

March 2021

  • Christian Conrad presented the paper "Modelling Volatility Cycles: The (MF)^2 GARCH Model" (joint with Robert Engle, Stern School of Business) in the Seminar in Statistics, Örebro University, School of Business, March 04, 2021.
  • New working paper: Conrad, C., and R. F. Engle (2021). "Modelling Volatility Cycles: the (MF)^2 GARCH Model."

February 2021

 

 

 

 

 

 

 

 

 

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Latest Revision: 2021-05-06
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