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Tests of conditional predictive ability : a comment

McCracken, Michael W. - 2019

We investigate a test of equal predictive ability delineated in Giacomini and White (2006; Econometrica). In contrast to a claim made in the paper, we show that their test statistic need not be asymptotically Normal when a fixed window of observations is used to estimate model parameters. An example...

Persistent link: https://www.econbiz.de/10012064875

An empirical investigation of direct and iterated multistep conditional forecasts

McCracken, Michael W.; McGillicuddy, Joseph - 2017

When constructing unconditional point forecasts, both direct- and iterated-multistep (DMS and IMS) approaches are common. However, in the context of producing conditional forecasts, IMS approaches based on vector autoregressions (VAR) are far more common than simpler DMS models. This is despite...

Persistent link: https://www.econbiz.de/10011782870

Tests of conditional predictive ability : some simulation evidence

McCracken, Michael W. - 2019

In this note we provide simulation evidence on the size and power of tests of predictive ability described in Giacomini and White (2006). Our goals are modest but non-trivial. First, we establish that there exist data generating processes that satisfy the null hypotheses of equal finite-sample...

Persistent link: https://www.econbiz.de/10011998061

Modeling stock-oil co-dependence with Dynamic Stochastic MIDAS Copula models

Nguyen, Hoang; Virbickaite, Audrone - 2022

Stock and oil relationship is usually time-varying and depends on the current economic conditions. In this study, we propose a new Dynamic Stochastic Mixed data frequency sampling (DSM) copula model, that decomposes the stock-oil relationship into a short-run dynamic stochastic component and a...

Persistent link: https://www.econbiz.de/10013258038

Bayesian predictive distributions of oil returns using mixed data sampling volatility models

Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023

This study explores the benefits of incorporating fat-tailed innovations, asymmetric volatility response, and an … extended information set into crude oil return modeling and forecasting. To this end, we utilize standard volatility models … Stochastic Volatility (SV), along with Mixed Data Sampling (MIDAS) regressions, which enable us to incorporate the impacts of …

Persistent link: https://www.econbiz.de/10014252427