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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

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

Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables (Note : New version February 2002) / Empirical Assessment of an Intertemporal Option Pricing Mod...

Garcia, René; Luger, Richard; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2001

This paper assesses the empirical performance of an intertemporal option pricing model with latent variables which generalizes the Hull-White stochastic volatility formula. Using this generalized formula in an ad-hoc fashion to extract two implicit parameters and forecast next day S&P 500 option...

Persistent link: https://www.econbiz.de/10005100563

An Eigenfunction Approach for Volatility Modeling

Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2001

In this paper, we introduce a new approach for volatility modeling in discrete and continuous time. We follow the stochastic volatility literature by assuming that the variance is a function of a state variable. However, instead of assuming that the loading function is ad hoc (e.g., exponential...

Persistent link: https://www.econbiz.de/10005100570

Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation

Doz, Catherine; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2004

This paper provides a semiparametric framework for modelling multivariate conditional heteroskedasticity. First, we show that stochastic volatility factor models with possibly cross-correlated disturbances cannot be identified from returns conditional variance structure only, except when strong...

Persistent link: https://www.econbiz.de/10005100682

Stochastic Volatility: Univariate and Multivariate Extensions

Jacquier, Éric; Polson, Nicholas G.; Rossi, Peter E. - Centre Interuniversitaire de Recherche en Analyse des … - 1999

Stochastic volatility models, aka SVOL, are more difficult to estimate than standard time-varying volatility models (ARCH). Advances in the literature now offer well tested estimators for a basic univariate SVOL model. However, the basic model is too restrictive for many economic and finance...

Persistent link: https://www.econbiz.de/10005100719

Modeling the Dynamics of Credit Spreads with Stochastic Volatility

Jacobs, Kris; Li, Xiaofei - Centre Interuniversitaire de Recherche en Analyse des … - 2003

The paper investigates a two-factor affine model for the credit spreads on corporate bonds. The first factor can be interpreted as the level of the spread, and the second factor is the volatility of the spread. The riskless interest rate is modeled using a standard two-factor affine model, thus...

Persistent link: https://www.econbiz.de/10005100722

The Econometrics of Option Pricing

Garcia, René; Ghysels, Eric; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2004

In this survey, we review econometric models for conducting statistical inference on option price data. We limit our review to European options on a stock index as well as to statistical methods which have been specifically developped for options. Emphasis is put on the synthesis of the various...

Persistent link: https://www.econbiz.de/10005100744

Models and Priors for Multivariate Stochastic Volatility

Jacquier, Éric; Polson, Nicholas G.; Rossi, Peter E. - Centre Interuniversitaire de Recherche en Analyse des … - 1995

Discrete time stochastic volatility models (hereafter SVOL) are noticeably harder to estimate than the successful ARCH family of models. In this paper, we develop methods for finite sample inference, smoothing, and prediction for a number of univariate and multivariate SVOL models. Specifically,...

Persistent link: https://www.econbiz.de/10005100767