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The Sum of All Fears : Forecasting International Returns using Option-implied Risk Measures

Gagnon, Marie-Hélène - 2020

predictive regressions and out-of-sample forecasts. We document the significant predictive power of the variance risk premium … (VRP), Generalized Riskiness (GR), and higher-order moments for horizons ranging from 1 to 250 days. These four risk … complementary predictors for several horizons, including under one month (VRP) and longer horizons (GR). Risk-neutral skewness and …

Persistent link: https://www.econbiz.de/10012853217

Time-series momentum : a Monte-Carlo approach

Cheng, Enoch; Struck, Clemens - 2019

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

Persistent link: https://www.econbiz.de/10011990919

Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie - 2011

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On … between implied and realized volatilities (the variance risk premium) and we find that a positive variance risk premium (an … anticipated increase in variance) has more impact on returns than a negative variance risk premium …

Persistent link: https://www.econbiz.de/10013128856

Out-of-sample comparison of copula specifications in multivariate density forecasts

Diks, Cees G. H.; Panchenko, Valentyn; Dijk, Dick van - 2008

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...

Persistent link: https://www.econbiz.de/10011377261

Testing for relative predictive accuracy : a critical viewpoint

Kunst, Robert M. - 2003

Tests for relative predictive accuracy have become a widespread addendum to forecast comparisons. Many empirical research reports conclude that the difference between the entertained forecasting models is 'insignificant'. This paper collects arguments that cast doubt on the usefulness of...

Persistent link: https://www.econbiz.de/10009726811

Comparing the Accuracy of Copula-Based Multivariate Density Forecasts in Selected Regions of Support

Diks, Cees G. H. - 2013

This paper develops a testing framework for comparing the predictive accuracy of copula-based multivariate density forecasts, focusing on a specific part of the joint distribution. The test is framed in the context of the Kullback-Leibler Information Criterion, but using (out-of-sample)...

Persistent link: https://www.econbiz.de/10013082931

Evaluating the Accuracy of Forecasts from Vector Autoregressions

Clark, Todd E. - 2013

This paper surveys recent developments in the evaluation of point and density forecasts in the context of forecasts made by Vector Autoregressions. Specific emphasis is placed on highlighting those parts of the existing literature that are applicable to direct multi-step forecasts and those...

Persistent link: https://www.econbiz.de/10013086000

Industry and Time Specific? An Examination of Bankruptcy Forecasting

Cooksley, Ben - 2016

The purpose of this research is to determine whether bankruptcy forecasting models are subject to industry and time specific effects. A sample of 15,848 firms was obtained from the Compustat and CRSP databases, spanning the time period 1950 to 2013, of which 396 were bankrupt. Using five models...

Persistent link: https://www.econbiz.de/10013000033

Testing for Granger Causality in Large Mixed-Frequency VARs

Götz, Thomas - 2016

We analyze Granger causality testing in a mixed-frequency VAR, where the difference in sampling frequencies of the variables is large. Given a realistic sample size, the number of high-frequency observations per low-frequency period leads to parameter proliferation problems in case we attempt to...

Persistent link: https://www.econbiz.de/10012988652

Evaluating Conditional Forecasts from Vector Autoregressions

Clark, Todd E. - 2014

Many forecasts are conditional in nature. For example, a number of central banks routinely report forecasts conditional on particular paths of policy instruments. Even though conditional forecasting is common, there has been little work on methods for evaluating conditional forecasts. This paper...

Persistent link: https://www.econbiz.de/10013046359

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