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Control-theoretic framework for a quasi-Newton local volatility surface inversion

Turinici, Gabriel - Université Paris-Dauphine (Paris IX) - 2008

We investigate in this paper the recovery of the local volatility surface in a parametric framework similar to that of Coleman, Li and Verma [4]. The quality of a surface is assessed through a functional which is optimized; the specificity of the approach is to separate the optimization on the...

Persistent link: https://www.econbiz.de/10010905049

The Calibration of Probabilistic Economic Forecasts

Galbraith, John; Norden, Simon van - Centre Interuniversitaire de Recherche en Analyse des … - 2008

interesting feature of such forecasts is their calibration, or the match between predicted probabilities and actual outcome … probabilities. Calibration has been evaluated in the past by grouping probability forecasts into discrete categories. Here we show … calibration error in a number of economic applications including recession and inflation prediction, using both forecasts made and …

Persistent link: https://www.econbiz.de/10005100636

Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models

Dufour, Jean-Marie; Touhami, Abdelkhalek - Centre Interuniversitaire de Recherche en Analyse des … - 2000

We consider the problem of assessing the uncertainty of calibrated parameters in computable general equilibrium (CGE) models through the construction of confidence sets (or intervals) for these parameters. We study two different setups under which this can be done. The first one extends earlier...

Persistent link: https://www.econbiz.de/10005100806

Calibration and Resolution Diagnostics for Bank of England Density Forecasts

Galbraith, John; Norden, Simon van - Centre Interuniversitaire de Recherche en Analyse des … - 2009

target inflation rate and 2.5% respectively.) Unlike earlier work on these forecasts, we measure both their calibration and … prévisions, nous gaugeons leur calibration aussi bien que leur résolution, en donnant des tests formels et des interprétations …

Persistent link: https://www.econbiz.de/10005034429

Understanding the Fine Structure of Electricity Prices

Geman, Hélyette; Roncoroni, Andréa - Université Paris-Dauphine (Paris IX) - 2006

This paper analyzes the special features of electricity spot prices derived from the physics of this commodity and from the economics of supply and demand in a market pool. Besides mean-reversion, a property they share with other commodities, power prices exhibit the unique feature of spikes in...

Persistent link: https://www.econbiz.de/10011166403

Regime-Switching and the Estimation of Multifractal Processes

Calvet, Laurent - 2003

We propose a discrete-time stochastic volatility model in which regime switching serves three purposes. First, changes in regimes capture low frequency variations, which is their traditional role. Second, they specify intermediate frequency dynamics that are usually assigned to smooth...

Persistent link: https://www.econbiz.de/10012468859

Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes

Dufour, Jean-Marie; Torrès, Olivier - Centre Interuniversitaire de Recherche en Analyse des … - 2000

In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes (intercalary independence and truncation) only...

Persistent link: https://www.econbiz.de/10005100872

Trading Volume, Price Autocorrelation and Volatility under Proportional Transaction Costs

Hua, Cheng - Université Paris-Dauphine (Paris IX) - 2006

fundamental value which cannot be inferred from the equilibrium price. Secondly, price autocorrelation can be generated only by …

Persistent link: https://www.econbiz.de/10010708652