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Evaluating covariance matrix forecasts in a value-at-risk framework

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

matrix forecasts using standard statistical loss functions and a value-at-risk (VaR) framework. This framework consists of … hypothesis tests examining various properties of VaR models based on these forecasts as well as an evaluation using a regulatory … best under standard statistical loss functions. However, within the economic context of a VaR framework, the performance of …

Persistent link: https://www.econbiz.de/10005514423

A robust Hansen-Sargent prediction formula

Kasa, Kenneth - Federal Reserve Bank of San Francisco - 2000

This paper derives a formula for the optimal forecast of a discounted sum of future values of a random variable. This problem reflects a preference for robustness in the presence of (unstructured) model uncertainty. The paper shows that revisions of a robust forecast are more sensitive to new...

Persistent link: https://www.econbiz.de/10005514425

Lock-in of extrapolative expectations in an asset pricing model

Lansing, Kevin J. - Federal Reserve Bank of San Francisco - 2005

This paper examines an agent's choice of forecast method within a standard asset pricing model. To make a conditional forecast, a representative agent may choose one of the following: (1) a rational (or fundamentals-based) forecast that employs knowledge of the stochastic process governing...

Persistent link: https://www.econbiz.de/10005401601

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

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

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

value-at-risk (VaR) framework, the relative performance of the covariance matrix forecasts depends greatly on the VaR … distributional assumption. Simple forecasts based just on weighted averages of past observations perform best using a VaR framework … commonly-used VaR models based on simple covariance matrix forecasts and distributional assumptions. …

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