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Consistent pretesting for jumps
Corradi, Valentina; Silvapulle, Mervyn J.; Swanson, … - 2014
If the intensity parameter in a jump diffusion model is identically zero, then parameters characterizing the jump size density cannot be identified. In general, this lack of identification precludes consistent estimation of identified parameters. Hence, it should be standard practice to...
Persistent link: https://www.econbiz.de/10010361470
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Robust forecast superiority testing with an application to assessing pools of expert forecasters
Corradi, Valentina; Jin, Sainan; Swanson, Norman R. - In: Journal of applied econometrics 38 (2023) 4, pp. 596-622
Persistent link: https://www.econbiz.de/10014288029
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Predictive density evaluation
Corradi, Valentina; Swanson, Norman R. - 2006
Persistent link: https://www.econbiz.de/10003338397
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Predictive density evaluation
Corradi, Valentina (contributor);  … - 2005
associated with these extensions are outlined. -- block bootstrap ; density and conditional distribution ; forecast accuracy …
Persistent link: https://www.econbiz.de/10003698528
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A survey of recent advances in forecast accuracy comparison testing, with an extension to stochastic dominance
Corradi, Valentina; Swanson, Norman R. - 2013
, both under vanishing and non-vanishing parameter estimation error, with focus on the construction of valid bootstrap …
Persistent link: https://www.econbiz.de/10009766717
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Predictive density evaluation
Corradi, Valentina (contributor);  … - 2004 - [Elektronische Ressource]
This Chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed. And a variety of different specifications and model evaluation tests due to various authors including Christoffersen and...
Persistent link: https://www.econbiz.de/10002432791
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The block bootstrap for parameter estimation error in recursive estimation schemes, with applications to predictive evaluation
Corradi, Valentina (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001848668
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Predictive Density Evaluation
Corradi, Valentina; Swanson, Norman R. - 2007
This chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed, and a variety of different specification and model evaluation tests due to various authors including Christoffersen and...
Persistent link: https://www.econbiz.de/10014052432
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Predictive Density Evaluation
Corradi, Valentina; Swanson, Norman R. - 2005
This chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed, and a variety of different specification and model evaluation tests due to various authors including Christoffersen and...
Persistent link: https://www.econbiz.de/10014062171
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Bootstrap Procedures for Recursive Estimation Schemes with Applications to Forecast Model Selection
Corradi, Valentina; Swanson, Norman R. - 2004
function. Our objectives in this paper are twofold. First, we introduce block bootstrap techniques that are (first order) valid … operational using our new bootstrap procedures. One of the applications outlines a consistent test for out-of-sample nonlinear … both of these examples, it is shown that appropriate re-centering of the bootstrap score is required in order to ensure …
Persistent link: https://www.econbiz.de/10014069617