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Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008
This discussion paper led to a publication in the 'Journal of Econometrics', 2011, 163, 215-230.<P> We propose new scoring rules based on partial likelihood for assessing the relative out-of-sample predictive accuracy of competing density forecasts over a specific region of interest, such as the...</p>
Persistent link: https://www.econbiz.de/10011255794
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An Hourly Periodic State Space Model for Modelling French National Electricity Load
Dordonnat, V.; Koopman, S.J.; Ooms, M.; Dessertaine, A.; … - Tinbergen Instituut - 2008
We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are designed to account for changes in customer behaviour and in utility production efficiencies. The model is periodic: it consists of different equations and different parameters for...
Persistent link: https://www.econbiz.de/10011256898
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Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees; Panchenko, Valentyn; Dijk, Dick van - Tinbergen Instituut - 2008
This discussion paper resulted in a publication in the <I>Journal of Economic Dynamics & Control</I>, 34(9), 1596-1609.<P> We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information...</p></i>
Persistent link: https://www.econbiz.de/10011256012
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The Forecast Combination Puzzle: A Simple Theoretical Explanation
Claeskens, Gerda; Magnus, Jan; Vasnev, Andrey; Wang, Wendun - Tinbergen Instituut - 2014
original forecasts. We provide the underlying theory, some special cases and an application in the context of model selection. …
Persistent link: https://www.econbiz.de/10011256481
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Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann
Hoogerheide, Lennart F.; Ravazzolo, Francesco; Dijk, … - Tinbergen Instituut - 2011
Patton and Timmermann (2012, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', <I>Journal of Business & Economic Statistics</I>, 30(1) 1-17) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...</i>
Persistent link: https://www.econbiz.de/10011256590
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Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?
Hoogerheide, Lennart F.; Ardia, David; Corre, Nienke - Tinbergen Instituut - 2011
This discussion paper resulted in an article in <I>Economics Letters</I> (2012). Vol. 116(3), 322-325.<p> Using well-known GARCH models for density prediction of daily S&P 500 and Nikkei 225 index returns, a comparison is provided between frequentist and Bayesian estimation. No significant difference is...</p></i>
Persistent link: https://www.econbiz.de/10011256766
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Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting
Lucas, André; Zhang, Xin - Tinbergen Instituut - 2014
robustifies the subsequent volatility estimates. Our new approach nests several extensions to the exponentially weighted moving … methods for volatility forecasting of individual stock returns and exchange rates. …
Persistent link: https://www.econbiz.de/10011257169
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Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
Diks, Cees; Panchenko, Valentyn; Sokolinskiy, Oleg; … - Tinbergen Instituut - 2013
This discussion paper resulted in a publication in the 'Journal of Economic Dynamics and Control' (forthcoming).<P> This paper develops a testing framework for comparing the predictive accuracy of copula-based multivariate density forecasts, focusing on a specific part of the joint distribution....</p>
Persistent link: https://www.econbiz.de/10011257469
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On the Invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - Tinbergen Instituut - 2014
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH …) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH …
Persistent link: https://www.econbiz.de/10011272590
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On the Invertibility of EGARCH(p,q)
Martinet, Guillaume Gaetan; McAleer, Michael - Tinbergen Instituut - 2015
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH …) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH …
Persistent link: https://www.econbiz.de/10011272596