Full-text resources of CEJSH and other databases are now available in the new Library of Science.
Visit https://bibliotekanauki.pl

Results found: 1

first rewind previous Page / 1 next fast forward last

Search results

Search:
in the keywords:  turning points detection
help Sort By:

help Limit search:
first rewind previous Page / 1 next fast forward last
1
Publication available in full text mode
Content available

On the Usefulness of Financial Variables Realised Volatility for Recession Forecasting and Business Cycles Turning Points Dating

100%
Łupińśki M.
Prace i Materiały Instytutu Rozwoju Gospodarczego SGH
|
2013
|
vol. 93: Expectations and Forecasting
29-44
EN
The main goal of this paper was to check usefulness of introducing measures of the financial markets risk into multivariate forecasting and business cycle dating models to improve their predictive and turning points detection power. Realised volatility was selected as market risk synthetic measure and introduced into two recession dating algorithms: Harding & Pagan (2002) mechanical procedure and Markov Switching Dynamic Factor Model (MS-DFM) with mixed frequencies and missing data handling. In the theoretical part of the article mathematical background of the realised volatility concept and MS-DFM model were presented. It was also described how the output of the MS-DFM model can be used to date turning points. This approach to local maxima detection was compared with Harding and Pagan competitor algorithm. In the practical part of the paper recession detection improvements stemming from introduction of realised volatility measures into MS-DFM model/Harding & Pagan procedure were examined for US and four Western Europe countries (Germany, France, United Kingdom and Italy) in the time span of 20 years between 1990 and 2010.
first rewind previous Page / 1 next fast forward last
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.