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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

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