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A Sound Modelling and Backtesting Framework for Forecasting Initial Margin Requirements
Anfuso, Fabrizio - 2017
The introduction by regulators of mandatory margining for bilateral OTCs is going to have a major impact on the derivatives market, particularly in light of the additional funding costs and liquidity requirements that large financial institutions will face. Fabrizio Anfuso, Daniel Aziz, Paul...
Persistent link: https://www.econbiz.de/10012970284
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A Predictability Test for a Small Number of Nested Models
Granziera, Eleonora; Hubrich, Kirstin; Moon, Hyungsik Roger - 2016
; for multi-step forecasts the normal approximation delivers grossly oversized tests, while the bootstrap provides with …
Persistent link: https://www.econbiz.de/10014171247
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Robust Model Selection in Dynamic Models with an Application to Comparing Predictive Accuracy
Kiefer, Nicholas M.; Choi, Hwan-sik - 2006
test statistic. The fixed-b approach is compared with a bootstrap method and the standard normal approximation in Monte … Carlo simulations. The fixed-b asymptotics and the bootstrap method are found to be markedly superior to the standard normal …
Persistent link: https://www.econbiz.de/10014054565
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Predictability hidden by anomalous observations
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2013 - This version: March 2013
Persistent link: https://www.econbiz.de/10010221576
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Expected lifetime range ratio to find mean reversion : evidence from Indian stock market
Shaik, Muneer; Maheswaran, S. - In: Cogent economics & finance 6 (2018) 1, pp. 1-23
than its bootstrap means, thereby indicating a considerable amount of mean reversion. We argue that ELR ratio is more …
Persistent link: https://www.econbiz.de/10011905649
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Technical trading revisited : false discoveries, persistence tests, and transaction costs
Bajgrowicz, Pierre; Scaillet, Olivier - 2009 - This version: Sept. 2009
We revisit the apparent historical success of technical trading rules on daily prices of the DJIA index from 1897 to 2011, and use the False Discovery Rate as a new approach to data snooping. The advantage of the FDR over existing methods is that it selects more outperforming rules which allows...
Persistent link: https://www.econbiz.de/10003961414
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Non-parametric stochastic simulations to investigate uncertainty around the OECD indicator model forecasts
Rusticelli, Elena - 2012
The forecasting uncertainty around point macroeconomic forecasts is usually measured by the historical performance of the forecasting model, using measures such as root mean squared forecasting errors (RMSE). This measure, however, has the major drawback that it is constant over time and hence...
Persistent link: https://www.econbiz.de/10009690936
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Backtesting Distributional Forecasts in Counterparty Risk II : Empirical Results for Long Horizon Testing
Farag, Hany - 2017
This paper provides empirical results supporting the theoretical ones by the first author on backtesting long-horizon distributional forecasts. The problem is quite general but for us it is motivated by the regulatory requirement of backtesting evolution models used in the measurement of...
Persistent link: https://www.econbiz.de/10012955514
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A Data Science Approach to Predict the Impact of Collateralization on Systemic Risk
O'Halloran, Sharyn - 2017
In this paper, we simulate and analyze the impact of financial regulations concerning the collateralization of derivative trades on systemic risk - a topic that has been vigorously discussed since the financial crisis in 2007/08. Experts often disagree on the efficacy of these regulations....
Persistent link: https://www.econbiz.de/10012941050
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On Bootstrapping Tests of Equal Forecast Accuracy for Nested Models
Doko Tchatoka, Firmin; Haque, Qazi - 2020
bootstrap method consisting of a block moving bootstrap (which is nonparametric) and a residual based bootstrap for both … statistics, and establish its validity. Simulations show that our hybrid bootstrap has good finite-sample performance, even in … multi-step ahead forecasts with heteroscedastic or autocorrelated errors, and more than one predictor. The bootstrap method …
Persistent link: https://www.econbiz.de/10014101174