Narrow search
Showing 1 - 10 of 54
Cover Image
Real-time forecast evaluation of DSGE models with stochastic volatility
Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul - 2017
Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models …
Persistent link: https://www.econbiz.de/10011760097
Cover Image
Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility
Diebold, Francis X. - 2015
Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models …
Persistent link: https://www.econbiz.de/10013022416
Cover Image
Real-time forecast evaluation of DSGE models with stochastic volatility
Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul - 2017 - This Version: August 18, 2016
Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models …
Persistent link: https://www.econbiz.de/10011755749
Cover Image
Volatility forecasting
Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - 2005
forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … forecasts in portfolio allocation to density forecasting in risk management. Sections 3, 4 and 5 present a variety of …
Persistent link: https://www.econbiz.de/10010298299
Cover Image
Comparing Predictive Accuracy, Twenty Years Later : A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests
Diebold, Francis X. - 2012
The Diebold-Mariano (DM) test was intended for comparing forecasts; it has been, and remains, useful in that regard. The DM test was not intended for comparing models. Unfortunately, however, much of the large subsequent literature uses DM-type tests for comparing models, in (pseudo-)...
Persistent link: https://www.econbiz.de/10013100935
Cover Image
Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics
Christoffersen, Peter - 2006
We consider three sets of phenomena that feature prominently - and separately - in the financial economics literature: conditional mean dependence (or lack thereof) in asset returns, dependence (and hence forecastability) in asset return signs, and dependence (and hence forecastability) in asset...
Persistent link: https://www.econbiz.de/10012735468
Cover Image
Cointegration and Long-Horizon Forecasting
Christoffersen, Peter - 2006
Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long …
Persistent link: https://www.econbiz.de/10012735758
Cover Image
Volatility Forecasting
Andersen, Torben G. - 2005
forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … forecasts in portfolio allocation to density forecasting in risk management. Sections 3, 4 and 5 present a variety of …
Persistent link: https://www.econbiz.de/10012736837
Cover Image
Assessing Point Forecast Accuracy by Stochastic Error Distance
Diebold, Francis X. - 2014
We propose point forecast accuracy measures based directly on distance of the forecast-error c.d.f. from the unit step function at 0 ("stochastic error distance," or SED). We provide a precise characterization of the relationship between SED and standard predictive loss functions, showing that...
Persistent link: https://www.econbiz.de/10013044332
Cover Image
Comparing Predictive Accuracy, Twenty Years Later : A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests
Diebold, Francis X. - 2013
The Diebold-Mariano (DM) test was intended for comparing forecasts; it has been, and remains, useful in that regard. The DM test was not intended for comparing models. Unfortunately, however, much of the large subsequent literature uses DM-type tests for comparing models, in (pseudo-)...
Persistent link: https://www.econbiz.de/10013077130