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Forecasting the intraday market price of money
Monticini, Andrea; Ravazzolo, Francesco - 2014
of point and density forecasting. The relative accuracy is higher when the full distribution is predicted. We also …
Persistent link: https://www.econbiz.de/10011739584
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Forecasting the intraday market price of money
Monticini, Andrea; Ravazzolo, Francesco - 2014
of point and density forecasting. The relative accuracy is higher when the full distribution is predicted. We also …
Persistent link: https://www.econbiz.de/10011774178
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Forecasting the intraday market price of money
Monticini, Andrea; Ravazzolo, Francesco - Norges Bank - 2011
benchmarks in terms of point and density forecasting. The gains are particular high when the full distribution is predicted and …
Persistent link: https://www.econbiz.de/10009292070
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Forecasting the intraday market price of money
Monticini, Andrea; Ravazzolo, Francesco - Dipartimenti e Istituti di Scienze Economiche, … - 2014
of point and density forecasting. The relative accuracy is higher when the full distribution is predicted. We also …
Persistent link: https://www.econbiz.de/10010819064
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Forecasting the intraday market price of money
Monticini, Andrea; Ravazzolo, Francesco - Dipartimenti e Istituti di Scienze Economiche, … - 2014
of point and density forecasting. The relative accuracy is higher when the full distribution is predicted. We also …
Persistent link: https://www.econbiz.de/10011157199
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Forecasting the intraday market price of money
Monticini, Andrea; Ravazzolo, Francesco - Dipartimenti e Istituti di Scienze Economiche, … - 2014
of point and density forecasting. The relative accuracy is higher when the full distribution is predicted. We also …
Persistent link: https://www.econbiz.de/10011099568
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Forecasting the intraday market price of money
Monticini, Andrea; Ravazzolo, Francesco - In: Journal of Empirical Finance 29 (2014) C, pp. 304-315
point and density forecasting. The relative accuracy is higher when the full distribution is predicted. We also document …
Persistent link: https://www.econbiz.de/10011116281
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Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann
Hoogerheide, Lennart F.; Ravazzolo, Francesco; van … - 2011
Patton and Timmermann (2012, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', Journal of Business & Economic Statistics, 30(1) 1-17) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...
Persistent link: https://www.econbiz.de/10010326495
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Backtesting Value-at-Risk Using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann
Hoogerheide, Lennart F. - 2011
Patton and Timmermann (2011, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', Journal of Business & Economic Statistics, forthcoming) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...
Persistent link: https://www.econbiz.de/10013120348
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Backtesting Value-at-Risk using Forecasts for Multiple Horizons, a Comment on the Forecast Rationality Tests of A.J. Patton and A. Timmermann
Hoogerheide, Lennart F.; Ravazzolo, Francesco; Dijk, … - Tinbergen Instituut - 2011
Patton and Timmermann (2012, 'Forecast Rationality Tests Based on Multi-Horizon Bounds', <I>Journal of Business & Economic Statistics</I>, 30(1) 1-17) propose a set of useful tests for forecast rationality or optimality under squared error loss, including an easily implemented test based on a...</i>
Persistent link: https://www.econbiz.de/10011256590