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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
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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
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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
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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
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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
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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
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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