4期

最新文章

• Conditional means of time series processes and time series processes for conditional means AI翻译
  作者：Fiorentini, G; Sentana, E
  作者单位：Universitat d'Alacant
  摘要：We study the process for the conditional mean of vector linear processes, which nest many models of interest. We also consider the joint process for a variable and its mean conditional on a multivariate information set. We compare the persistence of shocks to stationary variables and their means using impulse response functions. An empirical application suggests that U.S. real stock returns are close to white noise, while expected returns follow an AR(1) with high autocorrelation. We also find...
• Evaluating density forecasts with applications to financial risk management AI翻译
  作者：Diebold, FX; Gunther, TA; Tay, AS
  作者单位：University of Pennsylvania; National Bureau of Economic Research; National University of Singapore
  摘要：Density forecasting is increasingly more important and commonplace, for example in financial risk management, yet little attention has been given to the evaluation of density forecasts. We develop a simple and operational framework for density forecast evaluation. We illustrate the framework with a detailed application to density forecasting of asset returns in environments with time-varying volatility. Finally, we discuss several extensions.
• Evaluating interval forecasts AI翻译
  作者：Christoffersen, PF
  作者单位：McGill University
  摘要：A complete theory for evaluating interval forecasts has not been worked out to date. Most of the literature implicitly assumes homoskedastic errors even when this is clearly violated, and proceed by merely testing for correct unconditional coverage. Consequently, I set out to build a consistent framework for conditional interval forecast evaluation, which is crucial when higher-order moment dynamics are present. The new methodology is demonstrated in an application to the exchange rate forecas...