eprintid: 28723
rev_number: 16
eprint_status: archive
userid: 5316
dir: disk0/00/02/87/23
datestamp: 2020-08-04 08:12:56
lastmod: 2020-09-03 11:58:05
status_changed: 2020-08-04 08:12:56
type: doctoralThesis
metadata_visibility: show
creators_name: Kleen, Onno
title: Three Essays on Volatility Forecasting and Forecast Evaluation
subjects: ddc-310
subjects: ddc-330
divisions: i-181000
adv_faculty: af-18
keywords: Economic forecasting, forecast evaluation, volatility, portfolio analysis, GARCH-MIDAS, low-volatility anomaly
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.
date: 2020
id_scheme: DOI
id_number: 10.11588/heidok.00028723
ppn_swb: 1728684927
own_urn: urn:nbn:de:bsz:16-heidok-287237
date_accepted: 2020-07-27
advisor: HASH(0x55a99e5f4d00)
language: eng
bibsort: KLEENONNOTHREEESSAY2020
full_text_status: public
place_of_pub: Heidelberg
citation:   Kleen, Onno  (2020) Three Essays on Volatility Forecasting and Forecast Evaluation.  [Dissertation]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/28723/1/Doktorarbeit%20Onno%20Kleen.pdf