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Financial Asset Returns, Market Timing, and Volatility Dynamics

Christoffersen, Peter - 2002

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 with implications for market timing, and dependence...

Persistent link: https://www.econbiz.de/10012741219

Dynamic Equilibrium Economies : A Framework for Comparing Models and Data

Berkowitz, Jeremy; Diebold, Francis X.; Ohanian, Lee E. - 2019

We propose a constructive, multivariate framework for assessing agreement between (generally misspecified) dynamic equilibrium models and data, which enables a complete second-order comparison of the dynamic properties of models and data. We use bootstrap algorithms to evaluate the significance...

Persistent link: https://www.econbiz.de/10014201439

Real-time real economic activity : entering and exiting the pandemic recession of 2020

Diebold, Francis X. - In: Essays in honour of Fabio Canova, (pp. 5-24). 2022

Persistent link: https://www.econbiz.de/10013443962

Real-time real economic activity : entering and exiting the pandemic recession of 2020

Diebold, Francis X. - 2022

Persistent link: https://www.econbiz.de/10013206234

Real-time real economic activity : exiting the Great Recession and entering the pandemic recession

Diebold, Francis X. - 2020 - This version June 26, 2020

Persistent link: https://www.econbiz.de/10012299187

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

Assessing point forecast accuracy by stochastic loss distance

Diebold, Francis X.; Shin, Minchul - In: Economics Letters 130 (2015) C, pp. 37-38

We explore the evaluation (ranking) of point forecasts by a “stochastic loss distance” (SLD) criterion, under which we prefer forecasts with loss distributions F(L(e)) “close” to the unit step function at 0. We show that, surprisingly, ranking by SLD corresponds to ranking by expected loss.

Persistent link: https://www.econbiz.de/10011263440

Assessing Point Forecast Accuracy by Stochastic Divergence from Zero

Diebold, Francis X.; Shin, Minchul - Department of Economics, University of Pennsylvania - 2014

We propose and explore several related ways of reducing reliance of point forecast accuracy evaluation on expected loss, E(L(e)), where e is forecast error. Our central approach dispenses with the loss function entirely, instead using a \stochastic error divergence" (SED) accuracy measure based...

Persistent link: https://www.econbiz.de/10010822864

Assessing Point Forecast Accuracy by Stochastic Error Distance

Diebold, Francis X.; Shin, Minchul - Department of Economics, University of Pennsylvania - 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/10010970516

Volatility forecasting

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - Center for Financial Studies - 2005

Persistent link: https://www.econbiz.de/10010958660