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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

Risk Modelling and Management: An Overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013

, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …

Persistent link: https://www.econbiz.de/10010326135

Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support

Diks, Cees; Panchenko, Valentyn; Sokolinskiy, Oleg; van … - 2013

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. The test is framed in the context of the Kullback-Leibler Information Criterion, but using (out-of-sample)...

Persistent link: https://www.econbiz.de/10010326216

An Hourly Periodic State Space Model for Modelling French National Electricity Load

Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - 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/10014220784

Does Disagreement Amongst Forecasters Have Predictive Value?

Legerstee, Rianne - 2010

Forecasts from various experts are often used in macroeconomic forecasting models. Usually the focus is on the mean or median of the survey data. In the present study we adopt a different perspective on the survey data as we examine the predictive power of disagreement amongst forecasters. The...

Persistent link: https://www.econbiz.de/10013138423

Combining Predictive Densities Using Nonlinear Filtering with Applications to US Economics Data

Billio, Monica - 2012

We propose a multivariate combination approach to prediction based on a distributional state space representation of the weights belonging to a set of Bayesian predictive densities which have been obtained from alternative models. Several specifications of multivariate time-varying weights are...

Persistent link: https://www.econbiz.de/10013113399

Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index

Billio, Monica - 2012

We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic auto-regressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative...

Persistent link: https://www.econbiz.de/10013114729

Forecasting Aggregate Productivity Using Information from Firm-Level Data

Bartelsman, Eric J. - 2017

This paper contributes to the productivity literature by using results from firm-level productivity studies to improve forecasts of macro-level productivity growth. The paper employs current research methods on estimating firm-level productivity to build times-series components that capture the...

Persistent link: https://www.econbiz.de/10012976846

Forecasting Aggregate Productivity using Information from Firm-Level Data

Bartelsman, Eric J.; Wolf, Zoltan - 2009

Persistent link: https://www.econbiz.de/10010325710

Model-based Measurement of Actual Volatility in High-Frequency Data

Jungbacker, B.; Koopman, S.J. - 2005

In this paper we aim to measure actual volatility within a model-based framework using high-frequency data. In the … at smaller and smaller time intervals. High-frequency returns are used for the computation of realised volatility. Recent … theoretical results have shown that realised volatility is a consistent estimator of actual volatility but when it is subject to …

Persistent link: https://www.econbiz.de/10010325421

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