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Wolf, Michael; Wunderli, Dan - 2013

Many statistical applications require the forecast of a random variable of interest over several periods into the future. The sequence of individual forecasts, one period at a time, is called a path forecast, where the term path refers to the sequence of individual future realizations of the...

Persistent link: https://www.econbiz.de/10010316854

Predictive inference for integrated volatility

Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2011

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in … constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose … realized volatility measures, which are constructed using the ex post variation of asset prices. A set of sufficient conditions …

Persistent link: https://www.econbiz.de/10010282869

Wavelet analysis and denoising: New tools for economists

Cascio, Iolanda Lo - 2007

This paper surveys the techniques of wavelets analysis and the associated methods of denoising. The Discrete Wavelet Transform and its undecimated version, the Maximum Overlapping Discrete Wavelet Transform, are described. The methods of wavelets analysis can be used to show how the frequency...

Persistent link: https://www.econbiz.de/10010284181

Real-time datasets really do make a difference: Definitional change, data release, and forecasting

Fernandez, Andres; Swanson, Norman - 2011

In this paper, we empirically assess the extent to which early release inefficiency and definitional change affect prediction precision. In particular, we carry out a series of ex-ante prediction experiments in order to examine: the marginal predictive content of the revision process, the...

Persistent link: https://www.econbiz.de/10010282871

Estimating time-variation in measurement error from data revisions: An application to forecasting in dynamic models

Kapetanios, George; Yates, Anthony - 2004

Over time, economic statistics are refined. This means that newer data is typically less well measured than old data. Time variation in measurement error like this influences how forecasts should be made. We show how modelling the behaviour of the statistics agency generates both an estimate of...

Persistent link: https://www.econbiz.de/10010284141

Information criteria for impulse response function matching estimation of DSGE models

Hall, Alastair; Inoue, Atsushi; Nason, James M.; Rossi, … - 2008

We propose a new information criterion for impulse response function matching estimators (IRFMEs) of the structural parameters of dynamic stochastic general equilibrium (DSGE) macroeconomic models. An advantage of our procedure is that it allows researchers to select the impulse responses that...

Persistent link: https://www.econbiz.de/10010292348

Information in the revision process of real-time datasets

Corradi, Valentina; Fernandez, Andres; Swanson, Norman R. - 2011

Rationality of early release data is typically tested using linear regressions. Thus, failure to reject the null does not rule out the possibility of nonlinear dependence. This paper proposes two tests that have power against generic nonlinear alternatives. A Monte Carlo study shows that the...

Persistent link: https://www.econbiz.de/10010282830

Dividend momentum and stock return predictability: A Bayesian approach

Antolín-Díaz, Juan; Petrella, Ivan; Rubio-Ramírez, … - 2021

A long tradition in macro finance studies the joint dynamics of aggregate stock returns and dividends using vector autoregressions (VARs), imposing the cross-equation restrictions implied by the Campbell-Shiller (CS) identity to sharpen inference. We take a Bayesian perspective and develop...

Persistent link: https://www.econbiz.de/10012819002

Cointegrated VARMA models and forecasting US interest rates

Kascha, Christian; Trenkler, Carsten - 2011

We bring together some recent advances in the literature on vector autoregressive moving-average models creating a relatively simple specification and estimation strategy for the cointegrated case. We show that in the cointegrated case with fixed initial values there exists a so-called final...

Persistent link: https://www.econbiz.de/10010316827

Forecasting with measurement errors in dynamic models

Harrison, Richard T.; Kapetanios, George - 2004

In this paper we explore the consequences for forecasting of the following two facts: first, that over time statistical agencies revise and improve published data, so that observations on more recent events are those that are least well measured. Second, that economies are such that observations...

Persistent link: https://www.econbiz.de/10010284100

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