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In-Sample Confidence Bands and Out-of-Sample Forecast Bands for Time-Varying Parameters in Observation Driven Models
Blasques, Francisco; Koopman, Siem Jan; Lasak, Katarzyna; … - 2015
We study the performance of alternative methods for calculating in-sample confidence and out of-sample forecast bands for time-varying parameters. The in-sample bands reflect parameter uncertainty only. The out-of-sample bands reflect both parameter uncertainty and innovation uncertainty. The...
Persistent link: https://www.econbiz.de/10011403547
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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.; … - 2008
We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are … implementation of our forecasting procedure relies on the multivariate linear Gaussian state space framework and is applied to … national French hourly electricity load. The analysis focuses on two hours, 9 AM and 12 AM, but forecasting results are …
Persistent link: https://www.econbiz.de/10010325676
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Out-of-sample Comparison of Copula Specifications in Multivariate Density Forecasts
Diks, Cees; Panchenko, Valentyn; van Dijk, Dick - 2008
We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...
Persistent link: https://www.econbiz.de/10010325942
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Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails
Diks, Cees; Panchenko, Valentyn; van Dijk, Dick - 2008
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 left tail in financial risk management. By construction, existing scoring rules based on weighted...
Persistent link: https://www.econbiz.de/10010326053
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Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support
Diks, Cees; Panchenko, Valentyn; Sokolinskiy, Oleg; van … - 2013
forecasting performance in different regions of the support. Our analysis highlights the importance of allowing for lower and … upper tail dependence for accurate forecasting of common extreme appreciation and depreciation of different currencies. …
Persistent link: https://www.econbiz.de/10010326216
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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; van … - 2011
Patton and Timmermann (2012, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', Journal of Business & Economic Statistics, 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...
Persistent link: https://www.econbiz.de/10010326495
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Accounting for Missing Values in Score-Driven Time-Varying Parameter Models
Lucas, Andre; Opschoor, Anne; Schaumburg, Julia - 2016
We show that two alternative perspectives on how to deal with missing data in the context of the score-driven time-varying parameter models of Creal, Koopman, Lucas (2013) and Harvey (2013) lead to precisely the same dynamic transition equations. As score-driven models encompass a wide variety...
Persistent link: https://www.econbiz.de/10011586682
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Forecasting Value-at-Risk under Temporal and Portfolio Aggregation
Kole, Erik; Markwat, Thijs; Opschoor, Anne; van Dijk, Dick - 2015
We examine the impact of temporal and portfolio aggregation on the quality of Value-at-Risk (VaR) forecasts over a horizon of ten trading days for a well-diversified portfolio of stocks, bonds and alternative investments. The VaR forecasts are constructed based on daily, weekly or biweekly...
Persistent link: https://www.econbiz.de/10011451506
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Score Driven exponentially Weighted Moving Average and Value-at-Risk Forecasting
Lucas, André; Zhang, Xin - 2014
similar to the familiar RiskMetrics approach. We update parameters using the score of the forecasting distribution rather than … other choices of the preferred forecasting distribution. We apply our method to Value-at-Risk forecasting with Student's t … methods for volatility forecasting of individual stock returns and exchange rates. …
Persistent link: https://www.econbiz.de/10010491323
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The Forecast Combination Puzzle: A Simple Theoretical Explanation
Claeskens, Gerda; Magnus, Jan; Vasnev, Andrey; Wang, Wendun - 2014
This papers offers a theoretical explanation for the stylized fact that forecast combinations with estimated optimal weights often perform poorly in applications. The properties of the forecast combination are typically derived under the assumption that the weights are fixed, while in practice...
Persistent link: https://www.econbiz.de/10010491354