In this paper we propose a new method for producing semiparametric density forecasts for daily financial returns from high-frequency intraday data. The daily return density is estimated directly from intraday observations that have been appropriately rescaled using results from the theory of unifractal processes. The method preserves information concerning both the magnitude and sign of the int...

We study a matched sample of individual stock market forecasts consisting of both qualitative and quantitative forecasts. This allows us to test for the quality of forecast quantification methods by comparing quantified qualitative forecasts with actual quantitative forecasts. Focusing mainly on the widely used quantification framework advocated by Carlson and Parkin (1975), the so-called “prob...

We propose and test the idea that investor perceptions exhibit volatility ‘after-effects’ whereby perceived volatility is distorted after prolonged exposure to extreme volatility levels. Using VIX to measure perceived volatility in S&P 500 stocks, we find evidence of significant perceptual distortions in the aftermath of volatility regimes, consistent with the after-effect theory and recent exp...

This paper proposes new dynamic component models of returns and realized covariance (RCOV) matrices based on time-varying Wishart distributions. Bayesian estimation and model comparison is conducted with a range of multivariate GARCH models and existing RCOV models from the literature. The main method of model comparison consists of a term-structure of density forecasts of returns for multiple ...

We investigate if asset return volatility is predictable by macroeconomic and financial variables and shed light on the economic drivers of financial volatility. Our approach is distinct due to its comprehensiveness: First, we employ a data-rich forecast methodology to handle a large set of potential predictors in a Bayesian Model Averaging approach, and, second, we take a look at multiple asse...

The present study aimed to evaluate productive characteristics and the physical, chemical sensory quality of juices elaborated from different genotypes ‘Bordô’ cv. produced in Vale do Rio Peixe-SC region, 2016/17. 11 clones evaluated were identified as: G03, G07, G08, G10, G12, G13, G15, G16, G17, G18 G19. At harvest, fruit production evaluated. mean productivity tested was 31.2 t ha-1, with a ...