Search Results - subject:"parameter uncertainty"

Robust-Satisficing Monetary Policy Under Parameter Uncertainty

Akram, Q. Farooq; Ben-Haim, Yakov; Eitrheim, Øyvind - 2007

We employ the robust-satisficing approach to derive robust monetary policy when parameters of a macro model are uncertain. There is a trade-off between robustness of policies and their performance. Hence, under uncertainty, the policy maker is assumed to be content with policy performance at...

Persistent link: https://www.econbiz.de/10012143679

Revealing the preferences of the US Federal Reserve

Ilbas, Pelin - Norges Bank - 2007

's mandate. During the Greenspan period, the optimal Taylor rule appears to be equally robust to parameter uncertainty as the …

Persistent link: https://www.econbiz.de/10005481448

Evaluating real-time forecasts in real-time

Dijk, D.J.C. van; Franses, Ph.H.B.F.; Ravazzolo, F. - Erasmus University Rotterdam, Econometric Institute - 2007

Forecasters and the Greenbook. Keywords: Data revision, forecast evaluation, parameter uncertainty, Bayesian estimation …

Persistent link: https://www.econbiz.de/10005450915

Evaluating real-time forecasts in real-time

van Dijk, Dick; Franses, Philip Hans; Ravazzolo, Francesco - Faculteit der Economische Wetenschappen, Erasmus … - 2007

The accuracy of real-time forecasts of macroeconomic variables that are subject to revisions may crucially depend on the choice of data used to compare the forecasts against. We put forward a flexible time-varying parameter regression framework to obtain early estimates of the final value of...

Persistent link: https://www.econbiz.de/10010731620

How useful are historical data for forecasting the long-run equity return distribution?

Maheu, John M.; McCurdy, Thomas H. - Rimini Centre for Economic Analysis (RCEA) - 2007

We provide an approach to forecasting the long-run (unconditional) distribution of equity returns making optimal use of historical data in the presence of structural breaks. Our focus is on learning about breaks in real time and assessing their impact on out-of-sample density forecasts....

Persistent link: https://www.econbiz.de/10005091084

How useful are historical data for forecasting the long-run equity return distribution?

Maheu, John M; McCurdy, Thomas H - University of Toronto, Department of Economics - 2007

Persistent link: https://www.econbiz.de/10005827272

Portfolio Selection under Parameter Uncertainty using a Predictive Distribution

Im, Ji Jung; Lim, Hyun Soo; Choi, Sung sub; Nikitin, Denis - In: Annals of Economics and Finance 8 (2007) 2, pp. 305-312

We propose a portfolio selection model based on a generalized hyperbolic predictive distribution. This distribution incorporates uncertainties in mean and volatility of market returns. We then select an optimal portfolio with expected utility calculated under the predictive distribution. We...

Persistent link: https://www.econbiz.de/10009228656

Evaluation of Dutch Election Programs. The Impact of Parameter Uncertainty

Knoben, J.; Kerkhofs, M.; Graafland, J. - In: Review of Business and Economics LI (2006) 1, pp. 47-74

Shortly before the national elections in the Netherlands, the Netherlands Bureau for Economic Policy Analysis (CPB) evaluates the economic effects of the policy proposals in election programs. This paper investigates the sensitivity of this analysis to the uncertainty of parameter estimates in...

Persistent link: https://www.econbiz.de/10008684262

Allocation to industry portfolios under Markov switching returns

Tudor, Deniz Kebabci - In: Studies in Economics and Finance 30 (2013) September, pp. 317-317

Purpose – The purpose of this paper is to examine the effects of parameter uncertainty in the returns process with … propose a Gibbs sampling approach to take into account parameter uncertainty. This paper compares the results with a linear … benchmark model and estimates without taking into account parameter uncertainty. This paper also checks the predictive power of …

Persistent link: https://www.econbiz.de/10010815138

Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data

Bodnar, Taras; Schmid, Wolfgang; Zabolotskyy, Taras - In: Metrika 76 (2013) 8, pp. 1105-1134

In this paper we derive the asymptotic distributions of the estimated weights and of estimated performance measures of the minimum value-at-risk portfolio and of the minimum conditional value-at-risk portfolio assuming that the asset returns follow a strictly stationary process. It is proved...

Persistent link: https://www.econbiz.de/10010896496