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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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Valuation of Variance Forecast with Simulated Option Markets
Engle, Robert F. - 2010
history of the asset in question. A hypothetical insurance market is set up, where competing forecasting algorithms are used …. One algorithm is used by each hypothetical agent in an "ex post ante" forecasting exercise, using the available history of … forecasting algorithms.The technique is demonstrated with the NYSE portfolio, over the period of July 22, 1966 to December 31 …
Persistent link: https://www.econbiz.de/10013138666
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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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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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Filtering and Forecasting with Misspecified Arch Models Ii : Making the Right Forecast with the Wrong Model
Nelson, Daniel B. - 2007
medium and long term forecasting. In this paper, we develop conditions under which a misspecified ARCH model successfully … performs both tasks, filtering and forecasting. The key requirement (in addition to the conditions for consistent filtering) is …
Persistent link: https://www.econbiz.de/10012776678
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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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Comparing Predictive Accuracy
Diebold, Francis X.; Mariano, Roberto S. - 2021
Using research designs patterned after randomized experiments, many recent economic studies examine outcome measures for treatment groups and comparison groups that are not randomly assigned. By using variation in explanatory variables generated by changes in state laws, government draft...
Persistent link: https://www.econbiz.de/10013223006
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The Predictive Ability of Several Models of Exchange Rate Volatility
West, Kenneth D.; Cho, Dongchul - 2021
We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and …
Persistent link: https://www.econbiz.de/10013225431
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Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models
Cheung, Yin-Wong; Chinn, Menzie David - 2021
Exchange rate forecasts are generated using some popular monetary models of exchange rates in conjunction with several estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following requirements: the forecast and the actual series...
Persistent link: https://www.econbiz.de/10013236694
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Empirical Bayes Forecasts of One Time Series Using Many Predictors
Knox, Thomas; Stock, James H.; Watson, Mark W. - 2021
) optimal in Robbins' (1955, 1964) sense; (ii) the minimum risk equivariant estimator; and (iii) minimax in both the frequentist … and Bayesian problems over a class of nonGaussian error distributions. Also, the asymptotic frequentist risk of the … minimum risk equivariant estimator is shown to equal the Bayes risk of the (infeasible subjectivist) Bayes estimator in the …
Persistent link: https://www.econbiz.de/10013211698