Kleen, Onno
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Abstract
The three main chapters of this dissertation are self-contained research articles that can be read independently from each other. They all focus on forecasting with financial and macroeconomic data. The analyses in Chapter 1 and 2 are joint works with Christian Conrad. Both focus on forecasting volatility for financial markets. In Chapter 1, we address aggregate stock market volatility and in Chapter 2 stock-specific volatility for investment decisions. Chapter 3 is single-authored and, in contrast to the other two chapters, focuses on the evaluation of distribution forecasts.
Document type: | Dissertation |
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Supervisor: | Conrad, Prof. Dr. Christian |
Place of Publication: | Heidelberg |
Date of thesis defense: | 27 July 2020 |
Date Deposited: | 04 Aug 2020 08:12 |
Date: | 2020 |
Faculties / Institutes: | The Faculty of Economics and Social Studies > Alfred-Weber-Institut for Economics |
DDC-classification: | 310 General statistics 330 Economics |
Uncontrolled Keywords: | Economic forecasting, forecast evaluation, volatility, portfolio analysis, GARCH-MIDAS, low-volatility anomaly |