Arbeitspapier

Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models

This paper develops tests for comparing the accuracy of predictive densities derived from (possibly misspecified) diffusion models. In particular, we first outline a simple simulation-based framework for constructing predictive densities for one-factor and stochastic volatility models. Then, we construct accuracy assessment tests that are in the spirit of Diebold and Mariano (1995) and White (2000). In order to establish the asymptotic properties of our tests, we also develop a recursive variant of the nonparametric simulated maximum likelihood estimator of Fermanian and Salanié (2004). In an empirical illustration, the predictive densities from several models of the one-month federal funds rates are compared.

Language: Englisch

Bibliographic citation: Series: Working Paper ; No. 2011-12

Classification: Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Construction and Estimation

Subject: block bootstrap
diffusion processes
jumps
nonparametric simulated quasi maximum likelihood
parameter estimation error
recursive estimation
stochastic volatility
Prognoseverfahren
Zeitreihenanalyse
Modellierung
Schätztheorie
Theorie

Event: Geistige Schöpfung

(who): Corradi, Valentina
Swanson, Norman

Event: Veröffentlichung

(who): Rutgers University, Department of Economics

(where): New Brunswick, NJ

(when): 2011

Handle: http://hdl.handle.net/10419/59484

Last update: 10.03.2025, 11:42 AM CET

Data provider

This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.

Show original at data provider

Object type

Arbeitspapier

Associated

Corradi, Valentina
Swanson, Norman
Rutgers University, Department of Economics

Time of origin

2011

Other Objects (12)

Arbeitspapier

Testing for relative predictive accuracy: A critical viewpoint

Arbeitspapier

Predictive density evaluation

Arbeitspapier

Predictive Density Evaluation

Arbeitspapier

Testing the Accuracy

Predictive genetic testing

Arbeitspapier

Testing for convergence clubs in income per-capita: A predictive density approach

Testing for convergence clubs in income per capita : a predictive density approach

Testing for convergence clubs in income per-capita : A predictive density approach

Hochschulschrift

Predictive accuracy of experimental asset markets

Predictive Accuracy of Political Stock Markets

Arbeitspapier

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Arbeitspapier

Modeling uncertainty: Predictive accuracy as a proxy for predictive confidence

Arbeitspapier

Testing for relative predictive accuracy: A critical viewpoint

Arbeitspapier

Predictive density evaluation

Arbeitspapier

Predictive Density Evaluation

Arbeitspapier

Testing the Accuracy

Predictive genetic testing

Arbeitspapier

Testing for convergence clubs in income per-capita: A predictive density approach

Testing for convergence clubs in income per capita : a predictive density approach

Testing for convergence clubs in income per-capita : A predictive density approach

Hochschulschrift

Predictive accuracy of experimental asset markets

Predictive Accuracy of Political Stock Markets

Arbeitspapier

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Arbeitspapier

Modeling uncertainty: Predictive accuracy as a proxy for predictive confidence

Arbeitspapier

Testing for relative predictive accuracy: A critical viewpoint

Arbeitspapier

Predictive density evaluation

Arbeitspapier

Predictive Density Evaluation

Arbeitspapier

Testing the Accuracy

Predictive genetic testing

Arbeitspapier

Testing for convergence clubs in income per-capita: A predictive density approach

Testing for convergence clubs in income per capita : a predictive density approach

Testing for convergence clubs in income per-capita : A predictive density approach

Hochschulschrift

Predictive accuracy of experimental asset markets

Predictive Accuracy of Political Stock Markets

Arbeitspapier

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Arbeitspapier

Modeling uncertainty: Predictive accuracy as a proxy for predictive confidence

Cultural heritage institutions wishing to register will find more information here.

Fields marked * need to be filled in.

Username*

Please enter your username

Email*

Please enter your email address

Please do not fill this field

First name

Last name

Password*

Please enter your password

Confirm password*

Please enter the same password

I have read the terms of use and the privacy policy for the collection of personal data and accept them. *

This field is required.

I would like to subscribe to the newsletter of the Deutsche Digitale Bibliothek. See newsletter subscription info.

Account created

Your "My DDB" account has been successfully created. Before you can log in to your account, you must click the confirmation link in the message we just sent to the email address you provided.

Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models

Object Details

References and Relationships

Classification and Topics

Contributors, Places and Time

Further information

Data provider

Object type

Associated

Time of origin

Other Objects (12)

Testing for relative predictive accuracy: A critical viewpoint

Predictive density evaluation

Predictive Density Evaluation

Testing the Accuracy

Predictive genetic testing

Testing for convergence clubs in income per-capita: A predictive density approach

Testing for convergence clubs in income per capita : a predictive density approach

Testing for convergence clubs in income per-capita : A predictive density approach

Predictive accuracy of experimental asset markets

Predictive Accuracy of Political Stock Markets

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Modeling uncertainty: Predictive accuracy as a proxy for predictive confidence

Testing for relative predictive accuracy: A critical viewpoint

Predictive density evaluation

Predictive Density Evaluation

Testing the Accuracy

Predictive genetic testing

Testing for convergence clubs in income per-capita: A predictive density approach

Testing for convergence clubs in income per capita : a predictive density approach

Testing for convergence clubs in income per-capita : A predictive density approach

Predictive accuracy of experimental asset markets

Predictive Accuracy of Political Stock Markets

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Modeling uncertainty: Predictive accuracy as a proxy for predictive confidence

Testing for relative predictive accuracy: A critical viewpoint

Predictive density evaluation

Predictive Density Evaluation

Testing the Accuracy

Predictive genetic testing

Testing for convergence clubs in income per-capita: A predictive density approach

Testing for convergence clubs in income per capita : a predictive density approach

Testing for convergence clubs in income per-capita : A predictive density approach

Predictive accuracy of experimental asset markets

Predictive Accuracy of Political Stock Markets

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Modeling uncertainty: Predictive accuracy as a proxy for predictive confidence

Related objects

Reset password