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 …

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 …

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 …

distribution of volatility estimators involving data sampled at different frequencies. We focus on traditional historical … volatility filters involving monthly, daily and intra-daily observations. Second, we introduce a continuous record asymptotics … approach for estimating the so called integrated volatility, which represents the cumulative integral of instantaneous …

volatility measures, and the VaRs are tested and compared. La valeur exposée au risque (value at risk - VaR) est devenue un outil …

leverage, volatility and the riskless interest rate. We find that estimated coefficients for these variables are consistent … premia is approximately 23%. Volatility and leverage by themselves also have substantial explanatory power for credit default … data. We therefore conclude that leverage, volatility and the riskfree rate are important determinants of credit default …

, taking the form of postponed capacity investment, may occur in Markov Perfect Equilibrium. Volatility and the expected speed …

of realized volatility and interval and density forecasts can be extracted from strangles and risk-reversals. The purpose … of this paper is to assess the quality of such volatility, interval and density forecasts. We analyze option … find that the OTC implied volatilities explain a much larger share of the variation in realized volatility than has been …