title: Three Essays on Volatility Forecasting and Forecast Evaluation
creator: Kleen, Onno
subject: ddc-310
subject: 310 General statistics
subject: ddc-330
subject: 330 Economics
description: 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.
date: 2020
type: Dissertation
type: info:eu-repo/semantics/doctoralThesis
type: NonPeerReviewed
format: application/pdf
identifier: https://archiv.ub.uni-heidelberg.de/volltextserverhttps://archiv.ub.uni-heidelberg.de/volltextserver/28723/1/Doktorarbeit%20Onno%20Kleen.pdf
identifier: DOI:10.11588/heidok.00028723
identifier: urn:nbn:de:bsz:16-heidok-287237
identifier:   Kleen, Onno  (2020) Three Essays on Volatility Forecasting and Forecast Evaluation.  [Dissertation]     
relation: https://archiv.ub.uni-heidelberg.de/volltextserver/28723/
rights: info:eu-repo/semantics/openAccess
rights: http://archiv.ub.uni-heidelberg.de/volltextserver/help/license_urhg.html
language: eng