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Pozdena, Randall J.; Iben, Ben - Federal Reserve Bank of San Francisco - 1983

Persistent link: https://www.econbiz.de/10005078286

Is implied correlation worth calculating? Evidence from foreign exchange options and historical data

Walter, Christian; Lopez, Jose A. - Federal Reserve Bank of San Francisco - 2000

Implied volatilities, as derived from option prices, have been shown to be useful in forecasting the subsequently … correlations, derived from options on the exchange rates in a currency trio, are useful in forecasting the observed correlations … trio, we find that implied correlations are useful in forecasting observed correlations, but they do not fully incorporate …

Persistent link: https://www.econbiz.de/10005514432

Is implied correlation worth calculating? Evidence from foreign exchange options and historical data

Walter, Christian; Lopez, Jose A. - Federal Reserve Bank of San Francisco - 2000

Persistent link: https://www.econbiz.de/10010702156

Rational and near-rational bubbles without drift

Lansing, Kevin J. - Federal Reserve Bank of San Francisco - 2007

This paper derives a general class of intrinsic rational bubble solutions in a standard Lucas-type asset pricing model. I show that the rational bubble component of the price-dividend ratio can evolve as a geometric random walk without drift. The volatility of bubble innovations depends...

Persistent link: https://www.econbiz.de/10005361472

Interpreting prediction market prices as probabilities

Wolfers, Justin; Zitzewitz, Eric - Federal Reserve Bank of San Francisco - 2006

While most empirical analysis of prediction markets treats prices of binary options as predictions of the probability of future events, Manski (2004) has recently argued that there is little existing theory supporting this practice. We provide relevant analytic foundations, describing sufficient...

Persistent link: https://www.econbiz.de/10005361501

Macroeconomic derivatives: an initial analysis of market-based macro forecasts, uncertainty, and risk

Gürkaynak, Refet S.; Wolfers, Justin - Federal Reserve Bank of San Francisco - 2005

In September 2002, a new market in "Economic Derivatives" was launched allowing traders to take positions on future values of several macroeconomic data releases. We provide an initial analysis of the prices of these options. We find that market-based measures of expectations are similar to...

Persistent link: https://www.econbiz.de/10005361509

Five open questions about prediction markets

Wolfers, Justin; Zitzewitz, Eric - Federal Reserve Bank of San Francisco - 2006

prove to be valuable tools in forecasting, decisionmaking and risk management--in both the public and private sectors. This …

Persistent link: https://www.econbiz.de/10005361516

Evaluating interest rate covariance models within a value-at-risk framework

Ferreira, Miguel A.; Lopez, Jose A. - Federal Reserve Bank of San Francisco - 2004

We find that covariance matrix forecasts for an international interest rate portfolio generated by a model that incorporates interest-rate level volatility effects perform best with respect to statistical loss functions. However, within a value-at-risk (VaR) framework, the relative performance...

Persistent link: https://www.econbiz.de/10005721447

Term premia and interest rate forecasts in affine models

Duffee, Gregory R. - Federal Reserve Bank of San Francisco - 2000

I find that the standard class of affine models produces poor forecasts of future changes in Treasury yields. Better forecasts are generated by assuming that yields follow random walks. The failure of these models is driven by one of their key features: the compensation that investors receive...

Persistent link: https://www.econbiz.de/10005721475

Empirical simultaneous prediction regions for path-forecasts

Jordá, Òscar; Knuppel, Malte; Marcellino, Massimiliano - Federal Reserve Bank of San Francisco - 2012

This paper investigates the problem of constructing prediction regions for forecast trajectories 1 to H periods into the future - a path forecast. We take the more general view that the null model is only approximative and in some cases it may be altogether unavailable. As a consequence, one...

Persistent link: https://www.econbiz.de/10011026935