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On the Sources of Uncertainty in Exchange Rate Predictability : Supplementary Appendix

Byrne, Joseph - 2016

This document contains supplementary material to the paper "On the Sources of Uncertainty in Exchange Rate Predictability". In part A we examine the ability of our models to generate economic value in a stylized asset portfolio management setting. We describe the criteria for such evaluation and...

Persistent link: https://www.econbiz.de/10012983121

Forecasting Using Relative Entropy

Robertson, John; Tallman, Ellis W.; Whiteman, Charles H. - 2014

forecasts and from economic theory may be introduced into a model's forecasts …

Persistent link: https://www.econbiz.de/10014048873

Prior Parameter Uncertainty : Some Implications for Forecasting and Policy Analysis with VAR Models

Robertson, John; Tallman, Ellis W. - 2014

Models used for policy analysis should generate reliable unconditional forecasts as well as policy simulations (conditional forecasts) that are based on a structural model of the economy. Vector autoregression (VAR) models have been criticized for having inaccurate forecasts as well as being...

Persistent link: https://www.econbiz.de/10014048941

Improving Forecasts of the Federal Funds Rate in a Policy Model

Robertson, John; Tallman, Ellis W. - 2014

Vector autoregression (VAR) models are widely used for policy analysis. Some authors caution, however, that the forecast errors of the federal funds rate from such a VAR are large compared to those from the federal funds futures market. From these findings, it is argued that the inaccurate...

Persistent link: https://www.econbiz.de/10014048943

Gold Futures Returns and Realized Moments : A Forecasting Experiment Using a Quantile-Boosting Approach

Bonato, Matteo - 2016

of realized volatility and skewness for gold futures returns. Controlling for several widely studied market- and … the quantiles of the conditional distribution of gold futures returns. We find that the realized moments often … relevant for gold as the traditional accepted safe haven …

Persistent link: https://www.econbiz.de/10012989028

On the tail risk premium in the oil market

Ellwanger, Reinhard - 2017

oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail … thereafter. This increase (decrease) is amplified for the spot price because of time varying-benefits from holding physical oil … of oil demand and supply shocks is an important determinant of oil price fluctuations and their interaction with …

Persistent link: https://www.econbiz.de/10011778000

Optimal Prediction Pools

Geweke, John; Amisano, Gianni - 2009

A prediction model is any statement of a probability distribution for an outcome not yet observed. This study considers the properties of weighted linear combinations of n prediction models, or linear pools, evaluated using the conventional log predictive scoring rule. The log score is a concave...

Persistent link: https://www.econbiz.de/10003831826

The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....

Persistent link: https://www.econbiz.de/10003821063

Comparing and evaluating Bayesian predictive distributions of assets returns

Geweke, John; Amisano, Gianni - 2008

Bayesian inference in a time series model provides exact, out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...

Persistent link: https://www.econbiz.de/10003825870

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Persistent link: https://www.econbiz.de/10011431370