| 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 |
|