Nowcasting methods have become a crucial tool for central banks and investors due to their timeliness and ability to make 'on the spot' predictions. However, despite their popularity, there has been little research into statistical methods for the comparison of different nowcasts across multiple...

The purpose of this paper is to investigate whether a dynamic Value at Risk model and high frequency realized volatility models can improve the accuracy of 1-day ahead VaR forecasting beyond the performance of frequently used models. As such, this paper constructs 60 conditional volatility...

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in the financial econometrics literature. These tests differ from “long time span tests” that detect jumps by examining the magnitude of the intensity parameter in the data...

This paper proposes a test to determine whether `big data' nowcasting methods, which have become an important tool to many public and private institutions, are monotonically improving as new information becomes available. The test is the first to formalise existing evaluation procedures from the...

Trying to perform non-parametric change point tests for multivariate data using empirical processes is much more difficult that in the univariate case, since the limiting distribution depends on the unknown joint distribution function or its associated copula. In order to solve this problem, we...

Although the trajectory and path of future outcomes plays an important role in policy decisions, analyses of forecast accuracy typically focus on individual point forecasts. However, it is important to examine the path forecasts errors since they include the forecast dynamics. We use the link...

This paper examines the behavior of ski resort property in a major New England market over the last 25 years. A constructed property price series reveals that nominal prices are quite volatile and only slightly higher today than in 1980. These fluctuations and trends are investigated with a time...

The modified Sharpe ratio is commonly used to evaluate the risk-adjusted performance of an investment with non-normal returns, such as hedge funds. In this note, a test for equality of modified Sharpe ratios of two investments is developed. A simulation study demonstrates the good size and power...

A central component of the Basel III (B3) document is the "Sound practices for backtesting", i.e., a summary of strict regulatory guidances on how to validate and backtest Internal Method Models (IMM) for credit exposure. In the present work, we define a complete statistical framework to...

In this paper, the Consumer Price Index (CPI) of India is tested on whether it is generated from a stationary process for the purpose of which, a set of time series data on CPI with 4,420 observation arranged on daily basis from November 10, 2003 to December 16, 2015 is retrieved from the...