Narrow search
Showing 1 - 10 of 86
Cover Image
Conditional Quantile Coverage : an Application to Growth-at-Risk
Corradi, Valentina - 2020
This paper proposes tests for pairwise and multiple out-of-sample comparisons of parametric conditional quantile models. The tests rank the distance between actual and nominal conditional coverage w.r.t. the \textit{union} of information sets across models, for a given loss function. Our...
Persistent link: https://www.econbiz.de/10012826119
Cover Image
Bandwidth selection for continuous-time Markov processes
Bandi, Federico; Corradi, Valentina; Moloche, Guillermo - Volkswirtschaftliche Fakultät, … - 2009
We propose a theoretical approach to bandwidth choice for continuous-time Markov processes. We do so in the context of stationary and nonstationary processes of the recurrent kind. The procedure consists of two steps. In the first step, by invoking local Gaussianity, we suggest an automated...
Persistent link: https://www.econbiz.de/10011113065
Cover Image
Predictive inference for integrated volatility
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2006
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 nonparametric kernel estimators of the aforementioned...
Persistent link: https://www.econbiz.de/10010266344
Cover Image
Predictive density estimators for daily volatility based on the use of realized measures
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2006
The main objective of this paper is to propose a feasible, model free estimator of the predictive density of integrated volatility. In this sense, we extend recent papers by Andersen, Bollerslev, Diebold and Labys (2003), and by Andersen, Bollerslev and Meddahi (2004, 2005), who address the...
Persistent link: https://www.econbiz.de/10010266347
Cover Image
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 nonparametric kernel estimators of the aforementioned...
Persistent link: https://www.econbiz.de/10010282869
Cover Image
Testing for structural stability of factor augmented forecasting models
Corradi, Valentina; Swanson, Norman R. - 2013
forecasting models are used widely for prediction, and it is important to understand when such models are stable. Now, forecast … factor augmented forecasting model regression coefficients. The proposed statistic is based on the difference between full … reject the null ensures the structural stability of the factor augmented forecasting model. If the null is instead rejected …
Persistent link: https://www.econbiz.de/10009766692
Cover Image
Testing for Structural Stability of Factor Augmented Forecasting Models
Corradi, Valentina - 2013
forecasting models are used widely for prediction, and it is important to understand when such models are stable. Now, forecast … factor augmented forecasting model regression coefficients. The proposed statistic is based on the difference between full … reject the null ensures the structural stability of the factor augmented forecasting model. If the null is instead rejected …
Persistent link: https://www.econbiz.de/10013079042
Cover Image
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 nonparametric kernel estimators of the aforementioned...
Persistent link: https://www.econbiz.de/10009130720
Cover Image
Predictive Inference for Integrated Volatility
Swanson, Norman R.; Corradi, Valentina; Distaso, Walter - Department of Economics, Rutgers University-New Brunswick - 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 nonparametric kernel estimators of the aforementioned...
Persistent link: https://www.econbiz.de/10009372753
Cover Image
Predictive Inference for Integrated Volatility
Swanson, Norman R.; Corradi, Valentina; Distaso, Walter - Department of Economics, Rutgers University-New Brunswick - 2011
In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive den- sities and con¯dence intervals for integrated volatility. In this paper, we propose nonparametric estimators of the aforementioned...
Persistent link: https://www.econbiz.de/10009372759