Narrow search
Showing 1 - 10 of 109
Cover Image
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
Cover Image
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
Cover Image
Real-time real economic activity : entering and exiting the pandemic recession of 2020
Diebold, Francis X. - 2022
Persistent link: https://www.econbiz.de/10013206234
Cover Image
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
Cover Image
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
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