Elena Andreou
Datos Biográficos
| ID | 8880694 |
|---|---|
| NOMBRE | Elena Andreou |
| NOMBRES | Elena |
| APELLIDO | Andreou |
| FIRMA | ANDREOU E |
| AFILIACIONES | University of Cyprus |
| VERIFICADO | No |
| TOTAL DE OBRAS | 3 |
| TOTAL DE CITAS | 0 |
| TOTAL COMO AUTOR | 3 |
| TOTAL COMO EDITOR | 0 |
| PRIMER AÑO DE PUBLICACIÓN | 2002 |
| AÑO MÁS RECIENTE DE PUBLICACIÓN | 2013 |
| ÍNDICE H | 0 |
Should Macroeconomic Forecasters Use Daily Financial Data and How
We introduce easy-to-implement, regression-based methods for predicting quarterly real economic activity that use daily financial data and rely on forecast combinations of mixed data sampling (MIDAS) regressions. We also extract a novel small set of daily financial factors from a large panel of about 1000 daily financial assets. Our analysis is designed to elucidate the value of daily financial information and provide real-time forecast updates o…
An Alternative Asymptotic Analysis of Residual-Based Statistics
This paper presents an alternative method to derive the limiting distribution of residual-based statistics. Our method does not impose an explicit assumption of (asymptotic) smoothness of the statistic of interest with respect to the model's parameters and thus is especially useful in cases where such smoothness is difficult to establish. Instead, we use a locally uniform convergence in distribution condition, which is automatically satisfied by …
Rolling-Sample Volatility Estimators
We propose extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed for estimating the quadratic variation of asset returns, referred to as integrated or realized volatility. We treat integrated volatility as a continuous time stochastic process sampled at high frequencies and suggest rolling sample estimators which share many features with spot volatility estimators. We discuss asymptotically effic…
Sin obras prominentes en esta página.
Rolling-Sample Volatility Estimators
We propose extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed for estimating the quadratic variation of asset returns, referred to as integrated or realized volatility. We treat integrated volatility as a continuous time stochastic process sampled at high frequencies and suggest rolling sample estimators which share many features with spot volatility estimators. We discuss asymptotically effic…
An Alternative Asymptotic Analysis of Residual-Based Statistics
This paper presents an alternative method to derive the limiting distribution of residual-based statistics. Our method does not impose an explicit assumption of (asymptotic) smoothness of the statistic of interest with respect to the model's parameters and thus is especially useful in cases where such smoothness is difficult to establish. Instead, we use a locally uniform convergence in distribution condition, which is automatically satisfied by …
Should Macroeconomic Forecasters Use Daily Financial Data and How
We introduce easy-to-implement, regression-based methods for predicting quarterly real economic activity that use daily financial data and rely on forecast combinations of mixed data sampling (MIDAS) regressions. We also extract a novel small set of daily financial factors from a large panel of about 1000 daily financial assets. Our analysis is designed to elucidate the value of daily financial information and provide real-time forecast updates o…
Complex Systems and Time Series Analysis (2 obras) · Econometrics (2 obras) · Estimator (2 obras) · Financial Risk and Volatility Modeling (2 obras) · Mathematics (2 obras) · Monetary Policy and Economic Impact (2 obras) · Statistics (2 obras) · Algorithm (1 obras) · Applied Mathematics (1 obras) · Applied Mathematics (1 obras)