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Three Essays on Volatility Forecasting and Forecast Evaluation

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.

Item Type: Dissertation
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
Subjects: 310 General statistics
330 Economics
Uncontrolled Keywords: Economic forecasting, forecast evaluation, volatility, portfolio analysis, GARCH-MIDAS, low-volatility anomaly
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