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1
Continuous-Time Linear Models
Cochrane, John H.
-
2012
I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas
Persistent link: https://www.econbiz.de/10013104725
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2
Forecasts in a Slightly Misspecified Finite Order VAR
Müller, Ulrich K.
-
2011
We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/√T. This local embedding makes...
Persistent link: https://www.econbiz.de/10013131235
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3
Valuation of Variance Forecast with Simulated Option Markets
Engle, Robert F.
-
2010
An appropriate metric for the success of an algorithm to forecast the variance of the rate of return on a capital asset could be the incremental profit from substituting it for the next best alternative. We propose a framework to assess incremental profits for competing algorithms to forecast...
Persistent link: https://www.econbiz.de/10013138666
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4
Real-Time Forecasting with a Mixed-Frequency VAR
Schorfheide, Frank
-
2013
This paper develops a vector autoregression (VAR) for time series which are observed at mixed frequencies - quarterly and monthly. The model is cast in state-space form and estimated with Bayesian methods under a Minnesota-style prior. We show how to evaluate the marginal data density to...
Persistent link: https://www.econbiz.de/10013071894
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5
Answering the Critics : Yes, Arch Models Do Provide Good Volatility Forecasts
Andersen, Torben G.
-
2008
Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...
Persistent link: https://www.econbiz.de/10012774886
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6
Filtering and Forecasting with Misspecified Arch Models Ii : Making the Right Forecast with the Wrong Model
Nelson, Daniel B.
-
2007
A companion paper (Nelson (1992)) showed that in data observed at high frequencies, an ARCH model may do a good job at estimating conditional variances, even when the ARCH model is severely misspecified. While such models may perform reasonably well at filtering (i.e., at estimating unobserved...
Persistent link: https://www.econbiz.de/10012776678
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7
Forecasting with Dynamic Panel Data Models
Liu, Laura
-
2018
This paper considers the problem of forecasting a collection of short time series using cross sectional information in panel data. We construct point predictors using Tweedie's formula for the posterior mean of heterogeneous coefficients under a correlated random effects distribution. This...
Persistent link: https://www.econbiz.de/10012910300
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8
DSGE Model-Based Forecasting of Non-Modelled Variables
Schorfheide, Frank
-
2010
This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to...
Persistent link: https://www.econbiz.de/10012757579
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9
Why Has U.S. Inflation Become Harder to Forecast?
Stock, James H.
-
2010
Forecasts of the rate of price inflation play a central role in the formulation of monetary policy, and forecasting inflation is a key job for economists at the Federal Reserve Board. This paper examines whether this job has become harder and, to the extent that it has, what changes in the...
Persistent link: https://www.econbiz.de/10012761277
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10
Multi-Period Corporate Failure Prediction with Stochastic Covariates
Duffie, Darrell
-
2009
We provide maximum likelihood estimators of term structures of conditional probabilities of bankruptcy over relatively long time horizons, incorporating the dynamics of firm-specific and macroeconomic covariates. We find evidence in the U.S. industrial machinery and instruments sector, based on...
Persistent link: https://www.econbiz.de/10012767637
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