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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
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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
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Predictive Density Construction and Accuracy Testing with Multiple Possibly Misspecified Diffusion Models
Swanson, Norman R.; Corradi, Valentina - Department of Economics, Rutgers University-New Brunswick - 2011
This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified) diffusion models. In particular, we first outline a simple simulation-based framework for constructing predictive densities for one-factor and stochastic volatility models. Then, we...
Persistent link: https://www.econbiz.de/10009372770
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Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Corradi, Valentina; Swanson, Norman - 2011
This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified) diffusion models. In particular, we first outline a simple simulation-based framework for constructing predictive densities for one-factor and stochastic volatility models. Then, we...
Persistent link: https://www.econbiz.de/10010282854
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Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average
Distaso, Walter; Awartani, Basel; Corradi, Valentina - Econometric Society - 2004
It is a well accepted fact that stock returns data are often contaminated by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover, and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model...
Persistent link: https://www.econbiz.de/10005702555
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Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average
Awartani, Basel; Corradi, Valentina - Econometric Society - 2004
It is a well accepted fact that stock returns data are often characterized by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model...
Persistent link: https://www.econbiz.de/10005702617
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Predictive Inference for Integrated Volatility
Corradi, Valentina; Swanson, Norman; Distaso, Walter - Department of Economics, Rutgers University-New Brunswick - 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/10005839048
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Testing for Structural Stability of Factor Augmented Forecasting Models
Corradi, Valentina; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 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/10010678596
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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
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Testing for structural stability of factor augmented forecasting models
Corradi, Valentina; Swanson, Norman R. - In: Journal of Econometrics 182 (2014) 1, pp. 100-118
structural stability of both factor loadings and factor augmented forecasting model regression coefficients. Our proposed test …
Persistent link: https://www.econbiz.de/10011052274