Consistent with findings in other markets, implied volatility is a biased predictor of the realized volatility of gold futures. No existing explanation—including a price of volatility risk— can completely explain the bias, but much of this apparent bias can be explained by persistence and estimation error in implied volatility. Statistical criteria reject the hypothesis that implied volatility ...

In this paper we present an autoregressive model with neural networks modeling and standard error backpropagation algorithm training optimization in order to predict the gross domestic product (GDP) growth rate of four countries. Specifically we propose a kind of weighted regression, which can be used for econometric purposes, where the initial inputs are multiplied by the neural networks final...

In this paper we present an autoregressive model with neural networks modeling and standard error backpropagation algorithm training optimization in order to predict the gross domestic product (GDP) growth rate of four countries. Specifically we propose a kind of weighted regression, which can be used for econometric purposes, where the initial inputs are multiplied by the neural networks final...

The article describes the flow of tourists to Republic Uzbekistan and methods analysis forecasting based on econometric modeling development process its seasonal characteristics. Econometric developed by foreign local scientists were analyzed divided into groups analyze changing predict future number. Among them, additive model in group time series reflecting seasonality tourist was found meet ...

Evidence from social psychology suggests that econometricians will avoid evidence that disconfirms their beliefs. Two beliefs of econometricians were examined: (1) Econometric methods provide more accurate short-term forecasts than do other methods; and (2) more complex econometric methods yield more accurate forecasts. A survey of 21 experts in econometrics found that 95% agreed with the first...

Random Utility models have become standard econometric tools, allowing parameter inference for individual-level categorical choice data. Such models typically presume that changes in observed choices over time can be attributed to changes in either covariates or unobservables. We study how choice dynamics can be captured more faithfully by additionally modeling temporal changes in parameters di...

The forecasts accuracy evaluation became a constant preoccupation of specialists in forecasting, because of the failure of predictions that caused the actual economic crisis. The objective of this research is to model and predict some economic variables corresponding too few macroeconomic blocks for Romanian economy. The forecast method is represented by econometric models. Moreover, the accura...

recent strong growth of china’s exports has elevated the country to a rising global economic power and caused geo-political concern to policy-makers in the country and its trading partners world-wide. what are the determinants of this growth, how has it affected major economies in asean (world bank, 2009) in particular, and what kind of evidence-based responses are required and appropriate? the...

The information contained in one model’s forecast compared to that in another can be assessed from a regression of actual values on predicted values from the hvo models. We do this for forecasts of real GNP growth rates for different pairs of models. The models include a structural model (the Fair (1976) model), uariour versions of the vector autoregressive (VAR) model, and various versions of ...