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Christian BROWNLEES (Universitat Pompeu Fabra) “Backtesting Global Growth-at-Risk”
Finance & Financial Econometrics : Time: 10.00 am Date: 12th of October 2023 Room 3001 + Zoom Christian BROWNLEES (Universitat Pompeu Fabra) "Backtesting Global Growth-at-Risk" Abstract : We conduct an out-of-sample backtesting exercise of Growth-at-Risk (GaR) predictions for 24 OECD countries. We consider forecasts constructed from quantile regression and GARCH models. The quantile regression forecasts […]
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Daniel VELASQUEZ-GAVIRIA (Maastricht University) “From Past to Future: A Study on noncausal Forecasting for Bitcoin’s Realized Volatility”
Finance & Financial Econometrics : Time: 11.00 am Date: 12th of October 2023 Room 3001 + Zoom Daniel VELASQUEZ-GAVIRIA (Maastricht University) "From Past to Future: A Study on noncausal Forecasting for Bitcoin's Realized Volatility" Abstract : Bitcoin has experienced significant volatility since its inception, complicating efforts to predict its price. Although its daily returns remain […]
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