{"status":"OK","data":{"id":53625,"identifier":"DVN/84EP9B","persistentUrl":"https://doi.org/10.7910/DVN/84EP9B","protocol":"doi","authority":"10.7910","separator":"/","publisher":"Harvard Dataverse","publicationDate":"2009-11-25","storageIdentifier":"s3://10.7910/DVN/84EP9B","effectiveDatasetFileCountLimit":1000,"datasetFileUploadsAvailable":998,"datasetType":"dataset","locks":[],"latestVersion":{"id":51748,"datasetId":53625,"datasetPersistentId":"doi:10.7910/DVN/84EP9B","datasetType":"dataset","storageIdentifier":"s3://10.7910/DVN/84EP9B","versionNumber":1,"internalVersionNumber":1,"versionMinorNumber":0,"versionState":"RELEASED","latestVersionPublishingState":"RELEASED","deaccessionNote":"Initial version","deaccessionLink":"","distributionDate":"2009","productionDate":"2009","lastUpdateTime":"2009-11-25T13:24:26Z","releaseTime":"2009-11-25T00:00:00Z","createTime":"2009-10-19T11:19:09Z","alternativePersistentId":"hdl:1902.1/13761","publicationDate":"2009-11-25","citationDate":"2009-11-25","effectiveDatasetFileCountLimit":1000,"datasetFileUploadsAvailable":998,"license":{"name":"CC0 1.0","uri":"http://creativecommons.org/publicdomain/zero/1.0","iconUri":"https://licensebuttons.net/p/zero/1.0/88x31.png","rightsIdentifier":"CC0-1.0","rightsIdentifierScheme":"SPDX","schemeUri":"https://spdx.org/licenses/","languageCode":"en"},"fileAccessRequest":false,"metadataBlocks":{"citation":{"displayName":"Citation Metadata","name":"citation","fields":[{"typeName":"title","multiple":false,"typeClass":"primitive","value":"Forecast Evaluation of Explanatory Models of Financial Variability [Dataset]"},{"typeName":"author","multiple":true,"typeClass":"compound","value":[{"authorName":{"typeName":"authorName","multiple":false,"typeClass":"primitive","value":"Genaro Sucarrat"},"authorAffiliation":{"typeName":"authorAffiliation","multiple":false,"typeClass":"primitive","value":"Universidad Carlos III de Madrid"}}]},{"typeName":"datasetContact","multiple":true,"typeClass":"compound","value":[{"datasetContactName":{"typeName":"datasetContactName","multiple":false,"typeClass":"primitive","value":"Korinna Werner-Schwarz"},"datasetContactAffiliation":{"typeName":"datasetContactAffiliation","multiple":false,"typeClass":"primitive","value":"Kiel Institute for the World Economy"},"datasetContactEmail":{"typeName":"datasetContactEmail","multiple":false,"typeClass":"primitive","value":"korinna.werner-schwarz@economics-ejournal.org"}}]},{"typeName":"dsDescription","multiple":true,"typeClass":"compound","value":[{"dsDescriptionValue":{"typeName":"dsDescriptionValue","multiple":false,"typeClass":"primitive","value":"A practice that has become widespread and widely endorsed is that of evaluating\nforecasts of financial variability obtained from discrete time models by comparing\r them with high-frequency ex post estimates (e.g. realised volatility) based on continuous\r time theory. In explanatory financial variability modelling this raises several\r methodological and practical issues, which suggests an alternative approach is needed.\r The contribution of this study is twofold. First, the finite sample properties of\r operational and practical procedures for the forecast evaluation of exp\nlanatory discrete\r time models of financial variability are studied. Second, based on the simulation results\r a simple but general framework is proposed and illustrated. The illustration provides an\r example of where an explanatory model outperforms realised volatility ex post."},"dsDescriptionDate":{"typeName":"dsDescriptionDate","multiple":false,"typeClass":"primitive","value":"2009"}}]},{"typeName":"keyword","multiple":true,"typeClass":"compound","value":[{"keywordValue":{"typeName":"keywordValue","multiple":false,"typeClass":"primitive","value":"Financial variability"}},{"keywordValue":{"typeName":"keywordValue","multiple":false,"typeClass":"primitive","value":"Financial volatility"}},{"keywordValue":{"typeName":"keywordValue","multiple":false,"typeClass":"primitive","value":"Forecasting"}},{"keywordValue":{"typeName":"keywordValue","multiple":false,"typeClass":"primitive","value":"Explanatory modelling"}},{"keywordValue":{"typeName":"keywordValue","multiple":false,"typeClass":"primitive","value":"Exchange rates"}}]},{"typeName":"topicClassification","multiple":true,"typeClass":"compound","value":[{"topicClassValue":{"typeName":"topicClassValue","multiple":false,"typeClass":"primitive","value":"C52"},"topicClassVocab":{"typeName":"topicClassVocab","multiple":false,"typeClass":"primitive","value":"JEL"}},{"topicClassValue":{"typeName":"topicClassValue","multiple":false,"typeClass":"primitive","value":"C53"},"topicClassVocab":{"typeName":"topicClassVocab","multiple":false,"typeClass":"primitive","value":"JEL"}},{"topicClassValue":{"typeName":"topicClassValue","multiple":false,"typeClass":"primitive","value":"F31"},"topicClassVocab":{"typeName":"topicClassVocab","multiple":false,"typeClass":"primitive","value":"JEL"}},{"topicClassValue":{"typeName":"topicClassValue","multiple":false,"typeClass":"primitive","value":"F37"},"topicClassVocab":{"typeName":"topicClassVocab","multiple":false,"typeClass":"primitive","value":"JEL"}},{"topicClassValue":{"typeName":"topicClassValue","multiple":false,"typeClass":"primitive","value":"F47"},"topicClassVocab":{"typeName":"topicClassVocab","multiple":false,"typeClass":"primitive","value":"JEL"}}]},{"typeName":"publication","multiple":true,"typeClass":"compound","value":[{"publicationCitation":{"typeName":"publicationCitation","multiple":false,"typeClass":"primitive","value":"Genaro Sucarrat (2009). Forecast Evaluation of Explanatory Models of Financial Variability. Economics: The Open-Access, Open-Assessment E-Journal, Vol. 3, 2009-8.  <a href=\"http://www.economics-ejournal.org/economics/journalarticles/2009-8\"> http://www.economics-ejournal.org/economics/journalarticles/2009-8</a>"}}]},{"typeName":"productionDate","multiple":false,"typeClass":"primitive","value":"2009"},{"typeName":"distributor","multiple":true,"typeClass":"compound","value":[{"distributorName":{"typeName":"distributorName","multiple":false,"typeClass":"primitive","value":"Economics: The Open-Access, Open-Assessment E-Journal"},"distributorURL":{"typeName":"distributorURL","multiple":false,"typeClass":"primitive","value":"http://www.economics-ejournal.org"},"distributorLogoURL":{"typeName":"distributorLogoURL","multiple":false,"typeClass":"primitive","value":"http://www.economics-ejournal.org/logo.png"}}]},{"typeName":"distributionDate","multiple":false,"typeClass":"primitive","value":"2009"},{"typeName":"dateOfDeposit","multiple":false,"typeClass":"primitive","value":"2009-10-19"},{"typeName":"timePeriodCovered","multiple":true,"typeClass":"compound","value":[{"timePeriodCoveredStart":{"typeName":"timePeriodCoveredStart","multiple":false,"typeClass":"primitive","value":"2005-09"},"timePeriodCoveredEnd":{"typeName":"timePeriodCoveredEnd","multiple":false,"typeClass":"primitive","value":"2008-01"}}]},{"typeName":"kindOfData","multiple":true,"typeClass":"primitive","value":["aggregate data"]}]},"geospatial":{"displayName":"Geospatial Metadata","name":"geospatial","fields":[{"typeName":"geographicCoverage","multiple":true,"typeClass":"compound","value":[{"otherGeographicCoverage":{"typeName":"otherGeographicCoverage","multiple":false,"typeClass":"primitive","value":"EMU, Japan, Norway, United Kingdom, United States"}}]}]},"socialscience":{"displayName":"Social Science and Humanities Metadata","name":"socialscience","fields":[{"typeName":"timeMethod","multiple":false,"typeClass":"primitive","value":"time series"},{"typeName":"frequencyOfDataCollection","multiple":false,"typeClass":"primitive","value":"weekly"}]}},"files":[{"description":"txt file containing weekly exchange rates (USD/EUR, YEN/EUR, GBP/EUR and NOK/EUR)","label":"data_economics_ejournal_2009_8.txt","restricted":false,"version":1,"datasetVersionId":51748,"categories":["2. Data"],"dataFile":{"id":1522809,"persistentId":"doi:10.7910/DVN/84EP9B/CFSQXB","pidURL":"https://doi.org/10.7910/DVN/84EP9B/CFSQXB","filename":"data_economics_ejournal_2009_8.txt","contentType":"text/plain; charset=US-ASCII","friendlyType":"Plain Text","filesize":7484,"description":"txt file containing weekly exchange rates (USD/EUR, YEN/EUR, GBP/EUR and NOK/EUR)","categories":["2. Data"],"storageIdentifier":"s3://dvn-cloud:52331","rootDataFileId":-1,"md5":"19ca3444714c5ccfef5c075e0844e3e2","checksum":{"type":"MD5","value":"19ca3444714c5ccfef5c075e0844e3e2"},"tabularData":false,"creationDate":"2009-10-19","publicationDate":"2009-11-24","lastUpdateTime":"2009-11-25T13:24:26Z","fileAccessRequest":false}},{"description":"readme for the data in txt file ","label":"readme.txt","restricted":false,"version":1,"datasetVersionId":51748,"categories":["1. Documentation"],"dataFile":{"id":1522808,"persistentId":"doi:10.7910/DVN/84EP9B/MOAI1G","pidURL":"https://doi.org/10.7910/DVN/84EP9B/MOAI1G","filename":"readme.txt","contentType":"text/plain; charset=US-ASCII","friendlyType":"Plain Text","filesize":2779,"description":"readme for the data in txt file ","categories":["1. Documentation"],"storageIdentifier":"s3://dvn-cloud:52332","rootDataFileId":-1,"md5":"f1dbde23d322766331bbdf383762ab27","checksum":{"type":"MD5","value":"f1dbde23d322766331bbdf383762ab27"},"tabularData":false,"creationDate":"2009-10-19","publicationDate":"2009-11-24","lastUpdateTime":"2009-11-25T13:24:26Z","fileAccessRequest":false}}]}}}